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on Financial Markets |
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Issue of 2015‒01‒03
four papers chosen by |
| By: | Michael D. Bordo |
| Abstract: | This review examines a collection of lectures given by Ben Bernanke on the Federal Reserve's actions during the 2008 financial crisis. |
| Date: | 2013–08 |
| URL: | http://d.repec.org/n?u=RePEc:hoo:wpaper:13109&r=fmk |
| By: | Akira Kohsaka (Professor, School of International Studies, Kwansei Gakuin University); Jun-ichi Shinkai (Specially Appointed Researcher, Osaka School of International Public Policy, Osaka University) |
| Abstract: | We examine the role of financial shocks in business cycles in general and in financial crises in particular in East Asia (Indonesia, Korea, Malaysia and Thailand) since the 1990s. Estimating a Financial Conditions Index, we found that financial shocks explain most of business downturns in all the economies in the Asian Financial Crisis (AFC) in 1997-98, but that the effects of financial shocks are diverse across economies in the Global Financial Crisis (GFC) in 2008-09. In the GFC, the financial shocks played a relatively minor role in Indonesia, Malaysia and Thailand, while it played a similarly dominant role in Korea. Among individual financial channels, risk factors related to volatile external financial inflows were most significant in all the economies in the AFC and in Korea in the GFC. |
| Keywords: | Business cycles, Financial Conditions Index (FCI), Asian Financial Crisis, Global Financial Crisis, East Asia |
| JEL: | E32 E42 E44 |
| Date: | 2014–11 |
| URL: | http://d.repec.org/n?u=RePEc:osp:wpaper:14e008&r=fmk |
| By: | Marek Rutkowski; Silvio Tarca |
| Abstract: | The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk plays an important role in protecting the Australian banking sector against insolvency. We outline the mathematical foundations of regulatory capital for credit risk, and extend the model specification of the IRB approach to a more general setting than the usual Gaussian case. It rests on the proposition that quantiles of the distribution of conditional expectation of portfolio percentage loss may be substituted for quantiles of the portfolio loss distribution. We present a more economical proof of this proposition under weaker assumptions. Then, constructing a portfolio that is representative of credit exposures of the Australian banking sector, we measure the rate of convergence, in terms of number of obligors, of empirical loss distributions to the asymptotic (infinitely fine-grained) portfolio loss distribution. Moreover, we evaluate the sensitivity of credit risk capital to dependence structure as modelled by asset correlations and elliptical copulas. Access to internal bank data collected by the prudential regulator distinguishes our research from other empirical studies on the IRB approach. |
| Date: | 2014–12 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:1412.1183&r=fmk |
| By: | Tommaso Colozza |
| Abstract: | Standardization of credit derivatives was a necessary step towards a more transparent and better structured market, especially after recent financial turmoil. In this survey, we sum up the enhancements established by ISDA in 2009, focusing on vanilla instruments (Credit Default Swaps). New contract features include changes in the cash flow and in post-default settlement mechanisms, where auctions are now provided; an exhaustive description of such features acts as a basis for quantitative analysis of this standard market. A rigorous depiction of the conversion mechanism, the ISDA CDS Standard model, is also provided. |
| Keywords: | Credit Default Swaps, Standardization, ISDA CDS Model, Upfront, Auction Settlement. |
| JEL: | C60 G23 G28 |
| Date: | 2014–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:pie:dsedps:2014/190&r=fmk |