It Pays to Violate: How Effective are the Basel Accord Penalties?

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As capital reserves lead to an opportunity cost to banks, it is likely that banks could be tempted to use models that underpredict risk, and hence lead to low capital charges. In order to avoid this problem the Basel Accord introduced a backtesting procedure, whereby banks using models that led to excessive violations are penalised through higher capital charges. This paper investigates the performance of five popular volatility models that can be used to forecast VaR thresholds under a variety of distributional assumptions. The results suggest that, within the current constraints and the penalty structure of the Basel Accord, the lowest capital charges arise when using models that lead to excessive violations, thereby suggesting the current penalty structure is not severe enough to control risk management. In addition, an alternative penalty structure is suggested to be more effective in aligning the interests of banks and regulators.

Managing Value-at-Risk in Daily Tourist Tax Revenue for the Maldives

International tourism is the principal economic activity for Small Island Tourism Economies (SITEs). There is a strongly predictable component of international tourism, specifically the government revenue received from taxes on international tourists, but it is difficult to predict the number of international tourist arrivals, which determines the magnitude of tax revenue receipts. A framework is presented for risk management of daily tourist tax revenues for the Maldives, which is a unique SITE because it relies almost entirely on tourism for its economic and social development. As international tourism receipts are significant financial assets to the economies of SITEs, the time-varying volatility of international tourist arrivals and their growth rate is analogous to the volatility (or dynamic risk) in financial returns. The volatility in the levels and growth rates of daily international tourist arrivals are investigated in the paper. This paper provides a template for the future analysis of earnings from international tourism, particularly tourism taxes for SITEs, discusses the direct and indirect monetary benefits from international tourism, highlights tourism taxes in the Maldives as a development financing phenomenon, and provides a framework for discussing the design and implementation of tourism taxes. Furthermore, it is demonstrated that the analysis developed in this paper can be used by the Maldivian Government in determining monetary and fiscal policy, by creditors to evaluate the risks associated with providing financial support to the Maldives, and by resort operators to decide whether to expand or contract their operations. Acknowledgements: The first author acknowledges the financial support of the Australian Research Council, the second author wishes to acknowledge a UWA Research Fellowship, and the third author is most grateful for the financial support of an International Postgraduate Research Scholarship and University Postgraduate Award at UWA. The authors wish to thank the Editor, two referees, Clive Granger, Matteo Manera and Juerg Weber for helpful comments and suggestions. An earlier version of this paper was presented at the Second International Conference on Tourism and Sustainable Development: Macro and Micro Economic Issues, Cagliari, Sardinia, Italy, September 2005.Small Island Tourism Economies (SITEs), international tourist arrivals, tourism tax, volatility, risk, Value-at-Risk (VaR), Sustainable Tourism@Risk (ST@R)

Value-at-Risk for Country Risk Ratings

The country risk literature argues that country risk ratings have a direct impact on the cost of borrowings as they reflect the probability of debt default by a country. An improvement in country risk ratings, or country creditworthiness, will lower a country's cost of borrowing and debt servicing obligations, and vice-versa. In this context, it is useful to analyse country risk ratings data, much like financial data, in terms of the time series patterns, as such an analysis provides policy makers and industry stakeholders with a more accurate method of forecasting future changes in the risks and returns associated with country risk ratings.

Managing Value-at-Risk in Daily Tourist Tax Revenues for the Maldives

International tourism is the principal economic activity for Small Island Tourism Economies (SITEs). There is a strongly predictable component of international tourism, specifically the government revenue received from taxes on international tourists, but it is difficult to predict the number of international tourist arrivals, which determines the magnitude of tax revenue receipts. A framework is presented for risk management of daily tourist tax revenues for the Maldives, which is a unique SITE because it relies almost entirely on tourism for its economic and social development. As international tourism receipts are significant financial assets to the economies of SITEs, the timevarying volatility of international tourist arrivals and their growth rate is analogous to the volatility (or dynamic risk) in financial returns. The volatility in the levels and growth rates of daily international tourist arrivals are investigated in the paper. This paper provides a template for the future analysis of earnings from international tourism, particularly tourism taxes for SITEs, discusses the direct and indirect monetary benefits from international tourism, highlights tourism taxes in the Maldives as a development financing phenomenon, and provides a framework for discussing the design and implementation of tourism taxes. Furthermore, it is demonstrated that the analysis developed in this paper can be used by the Maldivian Government in determining monetary and fiscal policy, by creditors to evaluate the risks associated with providing financial support to the Maldives, and by resort operators to decide whether to expand or contract their operations.Small Island Tourism Economies (SITEs), International tourist arrivals, Tourism tax, Volatility, Risk, Value-at-Risk (VaR), Sustainable Tourism@Risk (ST@R).

Risk Management of Daily Tourist Tax Revenues for the Maldives

International tourism is the principal economic activity for Small Island Tourism Economies (SITEs). There is a strongly predictable component of international tourism, specifically the government revenue received from taxes on international tourists, but it is difficult to predict the number of international tourist arrivals which, in turn, determines the magnitude of tax revenue receipts. A framework is presented for risk management of daily tourist tax revenues for the Maldives, which is a unique SITE because it relies entirely on tourism for its economic and social development. As these receipts from international tourism are significant financial assets to the economies of SITEs, the time-varying volatility of international tourist arrivals and their growth rate is analogous to the volatility (or dynamic risk) in financial returns. In this paper, the volatility in the levels and growth rates of daily international tourist arrivals is investigated.Small Island Tourism Economies (SITEs), International tourist arrivals, Tourism tax, Volatility, Risk, Value-at-Risk (VaR), Sustainable Tourism-@-Risk (ST@R)

Redescoberta de Dendropsophus tintinnabulum (Anura: Hylidae) na bacia do Alto Rio Negro (Amazonas, Brasil) com a descrição do canto de anúncio e da morfologia externa

Dendropsophus tintinnabulum is one of six species of the genus unassigned to any group. Voucher specimens and recordings of this taxon obtained during field work in the municipality of São Gabriel da Cachoeira and elsewhere in the district of Cucuí in Amazonas state, Brazil, permit a description of the advertisement call and external morphological features. Based on overall similarities in size, dorsal color, body shape, advertisement call, and preliminary genomic results, D. tintinnabulum is tentatively assigned to the D. microcephalus GroupDendropsophus tintinnabulum é uma das seis espécies de Dendropsophus que ainda não foi atribuída a nenhum dos grupos de espécies atualmente aceitos. Espécimes-testemunhos e gravações desse táxon obtidos durante trabalho de campo no município de São Gabriel da Cachoeira e no distrito de Cucuí, estado do Amazonas, Brasil, permitem a descrição do canto de anúncio e de caracteres da morfologia externa. A partir de todas as similaridades em relação ao tamanho corporal, padrão de coloração, formato do corpo, canto e dados genômicos preliminares, alocamos tentativamente D. tintinnabulum no grupo de D. microcephalu

The effect of heteroskedasticity on factors affecting stock repurchases

We demonstrate the effect of ignoring the role of heteroskedasticity modelling in applied corporate finance studies and show that it may have important consequences in corporate financial decisions. In this paper, we specifically focus on the effect of heteroskedasticity on the factors affecting the open market operations of the firm. We show that in the absence of modelling heteroskedasticy results from prior research are consistent. By explicit modelling of heteroskedasticity some results are reversed. In particular, we find that the effect of key variables such as dividends, leverage and the likelihood of takeover on the probability of repurchase differs after controlling for heteroskedasticity. © 2014 Inderscience Enterprises Ltd