Purpose–Owing to the importance of the efficiency of commercial banks, the aim of this paper is to find the relationship between capital regulation, monetary policy and the asymmetric effects of the commercial banks' efficiency. Design/methodology/approach–First, the paper makes a static...

Purpose–The purpose of this paper is to analyze how the financial supervision authority utilizes the restrictions of capital constraints imposing on commercial banks the need to develop the macro economy. Design/methodology/approach–This paper uses multilateral game to deduce the loan...

The aim of this study is to get a better understanding of which financial stability responsibilities have been delegated to central banks (CBs), how these responsibilities are executed, and whether accountability arrangements are in place. For this purpose, a questionnaire was sent to all CBs in...

Este trabajo se centra en la elaboración de un modelo interno para el riesgo de renta variable en Solvencia II. Para ello, se han utilizado datos mensuales de la serie de Ibex 35, Cac-40, Ftse-100 y Dax del periodo Enero de 1992 a Diciembre de 2008. Se han ajustado por máximo verosimilitud el...

Commodity terms of trade shocks have continued to drive macroeconomic ‡uctuations in most emerging market economies. The volatility and persistence of these shocks have posed great challenges for monetary policy. This study employs a New Keynesian Dynamic Stochastic General Equilibrium...

Due to its known weaknesses Value at Risk (VaR) has been modified to have a better market risk measurement model. 2007-2008 global financial crisis has increased the necessity to incorporate market liquidity into widely used models. This is to raise the required regulatory capital for trading...

This research employs the Data Envelopment Analysis (DEA) and Malmquist index approaches to evaluate the efficiency and Total Factor Productivity (TFP) changes of Thai banking system in the period of 2007-2010 using panel data of 27 major banks in Thailand. This paper shows that the global...

Key role of credit rating agencies is reducing the asymmetry information about credit quality (of governments, business entities or securities) between issuers and investors, and ensuring a common standard of measuring the creditworthiness. Credit rating agencies are engaged in the sale of...

This paper outlines a set of financial policies that can help make financial crises less likely in emerging market countries. To justify these policies, the paper first explains what a financial crisis is, the factors that promote a financial crisis and the dynamics of a financial crisis. It...

We consider a regulator providing deposit insurance to a bank with private information about its investment portfolio. Following current regulatory practices, we assume that the regulator does not commit to audit and sanction after any risk report from the bank. We show that, in absence of...