Basel II and the German credit crunch?

(Abstract) In the market for German real estate finance at the end of 2001 a phenomenon could be identified that shows significant parallels to the shortening of credit supply in the US market in the early nineties, called the credit crunch. There are two basic reasons that explain the withdrawal of mortgage banks from the current events in real estate debt finance. Both are linked to a lack of risk identification in real estate investment. First, mortgage banks are engaged in a portfolio of bad real estate credits. In the past and today, banks do not receive information to price the true property risks. Especially from their money transfer to eastern Germany they still suffer of high deprecations in these engagements. The high impact of single properties can not be diversified. This is why banks were exposed to higher risks than they calculated in their market risk exposure. On the other hand, the preparation for Basel II indicates how sensitive risk have to be treated according to the new regulatory environment. This causes a split of relationship ties where real estate risks were not priced for decades. The result is a failure of all sorts of real estate finance in Germany. From the survey on institutional real estate investment behavior, it becomes evident that market participants ignore property risks and they do not have the instruments available to price these risks. This is why banks act so cautious in preparation for Basel II. Banks will have to find the instruments to either price these property risks or have intermediaries price them and include diversified securities into their holdings. True intermediaries are not present in German real estate finance. Banks failed in their function to price risk and monitor the quality of investors in debt finance. In addition, a lot of direct finance from households to real estate investors as open-ended or closedended funds takes place. We suggest the introduction of a real estate investment banking function that offers true intermediation services. It monitors the risk pricing of real estate investors and places the securitized and rated risk exposure at banks or in the capital market to provide finance to capital seekers. Future real estate investment would be financed risk-adjusted and financing volumes could increase again.

A multiobjective credibilistic portfolio selection model. Empirical study in the Latin American Integrated Market

[EN] This paper extends the stochastic mean-semivariance model to a fuzzy multiobjective model, where apart from return and risk, also liquidity is considered to measure the performance of a portfolio. Uncertainty of future return and liquidity of each asset are modeled using L-R type fuzzy numbers that belong to the power reference function family. The decision process of this novel approach takes into account not only the multidimensional nature of the portfolio selection problem but also realistic constraints by investors. Particularly, it optimizes the expected return, the semivariance and the expected liquidity of a given portfolio, considering cardinality constraint and upper and lower bound constraints. The constrained portfolio optimization problem resulting is solved using the algorithm NSGA-II. As a novelty, in order to select the optimal portfolio, this study defines the credibilistic Sortino ratio as the ratio between the credibilistic risk premium and the credibilistic semivariance. An empirical study is included to show the effectiveness and efficiency of the model in practical applications using a data set of assets from the Latin American Integrated Market.García García, F.; Gonzalez-Bueno, J.; Guijarro, F.; Oliver-Muncharaz, J. (2020). A multiobjective credibilistic portfolio selection model. Empirical study in the Latin American Integrated Market. Enterpreneurship and Sustainability Issues. 8(2):1027-1046. https://doi.org/10.9770/jesi.2020.8.2(62)S102710468

Contributions to the study and modeling of knowledge development systems

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The development of hybrid intelligent systems for technical analysis based equivolume charting

This dissertation proposes the development of a hybrid intelligent system applied to technical analysis based equivolume charting for stock trading. A Neuro-Fuzzy based Genetic Algorithms (NF-GA) system of the Volume Adjusted Moving Average (VAMA) membership functions is introduced to evaluate the effectiveness of using a hybrid intelligent system that integrates neural networks, fuzzy logic, and genetic algorithms techniques for increasing the efficiency of technical analysis based equivolume charting for trading stocks --Introduction, page 1

Impact of WEBQUAL Dimensions on Customers Attitudes toward E-Reservation Services Adoption (ERSA) in Jordanian Hotels

The aim of this study is to examines the main factors that affect Jordanian customers to adopt E-Reservation Services System  in the hotel. To achieve this aim, this study used a survey data of 300 international tourists who how already booked the hotels services by the internet in six hotels with five star ranks in the Dead Sea area, using Statistical Package for the Social Sciences (SPSS) (version.18) and Structural Equation Model (SEM) (AMOS.8). Findings of this study indicate that there are ten direct significant relationships and one insignificant relationship. Firstly, direct significant of ERSA is attitude. Secondly, nine direct significant factors effect of attitude subsequently are information accuracy, trust, web appearance, interactivity, and reliability, and usefulness, eases of use, responsiveness and innovativeness. While integrated communications has no significant effect on customers’ attitude toward ERSA in Jordan.  Future implications and recommendations are discussed. Keywords: E-Reservation Services adoption, customers attitude, Jorda

Bibliometric overview and retrospective analysis of fund performance research between 1966 and 2019

Fund performance has been a hot topic in the financial research area, fair and correct evaluation of fund performance is of great significance for fund investors and companies. However, most of the relevant publications do not have any retrospective analysis of this topic in terms of knowledge domain to show its development trends and research concerns. To address this issue, two effective bibliometric tools namely Citespace II (The 5.3.R4 Edition) and SciMat are used to analyze the knowledge domain of this field in this paper. We have analyzed 979 articles related to fund performance from Web of Science between 1966 and 2019 (July), the analysis content includes the current status, collaboration network, co-citation network, and emerging trends of fund performance research, then we have derived the following desired conclusions: (1) In the last twenty years, there was a significant increase in the publication and citation numbers of fund performance research; especially, the relative research has become interdisciplinary and internationalized. (2) “Mutual Fund Performance”, “Fund Return”, “Investment Performance”, and “Portfolio Selection” are the hottest topics in the fund performance research. (3) “Small Fund” and “Investor Reaction” are the two emerging trends in the fund performance research. To sum up, there are two main contributions in this paper: First, we provide a full bibliometric analysis about the fund performance research. Second, we make the further development of fund performance research easier and more clearly to show the directions to learn and study for beginners

Analysis and modeling a distributed co-operative multi agent system for scaling-up business intelligence

Modeling A Distributed Co-Operative Multi Agent System in the area of Business Intelligence is the newer topic. During the work carried out a software Integrated Intelligent Advisory Model (IIAM) has been develop, which is a personal finance portfolio ma

News on the Internet

Newspapers are in trouble. Circulation and advertising are down as readers shift from print to online media. Although changing reader preferences and the loss of lucrative classified advertising to online sources are major worries, the news media seems preoccupied with news aggregators and bloggers who distribute news content on the internet without permission. Newspapers are not the only ones worried about the unauthorized distribution of their news on the internet. Financial services companies are unhappy about the distribution of their hot stock recommendations and other content providers seek to control online news ranging from movie schedules to business ratings. Traditional copyright doctrine offers varying degrees of protection for the literary format of the news — broad in scope for the text of news stories, narrower and less certain for smaller expressions like news headlines and leads. Content providers want more. They seek to control the online distribution not just of their literary forms, but of the very facts that are the news itself. The battle is being waged on two fronts. One involves an attempt to extend the traditional scope of copyright beyond the protection of expression into the previously forbidden realm of facts. The second front involves efforts by content providers to enlist the century-old common law tort of misappropriation. The reemergence of the misappropriation tort from the shadow of federal copyright law is somewhat improbable, resting as it does on a single paragraph of legislative history, extracted from an ABA Committee Report, that was directed at a portion of the copyright revision bill that was never actually enacted. Nevertheless, its application to news on the internet has been cheered by many commentators. This Article examines the recent attempts by content providers to gain control over facts through federal copyright law and the common law tort of misappropriation

Measuring Systemic Risk in the Finance and Insurance Sectors

A significant contributing factor to the Financial Crisis of 2007–2009 was the apparent interconnectedness among hedge funds, banks, brokers, and insurance companies, which amplified shocks into systemic events. In this paper, we propose five measures of systemic risk based on statistical relations among the market returns of these four types of financial institutions. Using correlations, cross-autocorrelations, principal components analysis, regime-switching models, and Granger causality tests, we find that all four sectors have become highly interrelated and less liquid over the past decade, increasing the level of systemic risk in the finance and insurance industries. These measures can also identify and quantify financial crisis periods. Our results suggest that while hedge funds can provide early indications of market dislocation, their contributions to systemic risk may not be as significant as those of banks, insurance companies, and brokers who take on risks more appropriate for hedge funds