Short-term Wholesale Funding and Systemic Risk: A Global CoVaR Approach

We use the CoVaR approach to identify the main factors behind systemic risk in a set of large international banks. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find weaker evidence that either size or leverage contributes to systemic risk within the class of large international banks. We also show that asymmetries based on the sign of bank returns play an important role in capturing the sensitivity of system-wide risk to individual bank returns. Since short-term wholesale funding emerges as the most relevant systemic factor, our results support the Basel Committee’s proposal to introduce a net stable funding ratio, penalizing excessive exposure to liquidity risk

Banks’ Net Interest Margin in the 2000s: A Macro-Accounting International Perspective

This paper re-examines the determinants of Net Interest Margin (NIM) in the banking industries of 15 developed and emerging economies. It presents three main contributions with respect to previous studies: first, we analyze the determinants of NIM in the years leading to the 2008 financial crisis; second, we account for the role of different accounting standards across countries; third, we use multi-way cluster estimation methodologies which control for cross-sectional and time-series dependence in macroeconomic and banking variables. We find that the introduction of International Financial Reporting Standards (IFRSs) contributed to lower NIM variations unexplained by standard accounting variables. Interest rate volatility is found to be positively and strongly related to NIM dynamics, whereas inflation risk is often found to be a relevant driver of NIM crosscountry differences

Drivers of depositor discipline in credit unions

In this paper, we analyze whether credit unions are subject to market discipline by their (member) depositors and examine the drivers of such discipline. We first provide descriptive evidence of depositor discipline in credit unions: shares and deposits as well as savings interest rates react to variables that reflect the financial health of the credit union and its asset risk. We show that this discipline is long-lasting and that it is mediated by the existence of a deposit guarantee scheme and by the strength of the relationship of members with the credit union. We then use proxies of the capability of members to process financial information to show that discipline is heavily influenced by member financial sophistication. Our results suggest that a type of market-based discipline acts as a complement for regulation in controlling credit union risk taking, thus contributing to overall financial stability

The risk implications of the business loan activity in credit unions

US credit unions have been subject to a strict regulation of their commercial lending which included both requirements for enhanced organizational practices and a cap on the proportion of business loans relative to assets (imposed in 1998 by US Congress). Since 2003, however, these limitations have been steadily relaxed, a process which has resulted in an increase in credit union business lending activity. Using data from the universe of US credit unions we provide comprehensive evidence that expansion of the business loan portfolio increases the risk of the asset side of the credit union. This is the case even for credit unions which benefit from partnership with the SBA, for which we observe an initial increase in the risk of non-SBA backed loans (an overconfidence effect) which reverses over time (a learning effect). Our results suggest, furthermore, that the risk of business loans is exacerbated for credit unions which initiate their business loan activity and which do so rapidly. In the second part of our analysis we provide descriptive and quasi-experimental evidence that expansions of credit union activity into business loans are associated with lower subsequent growth rates of deposits. This result is similar to the reaction to risk indicators found in the banking literature and might give an ex-ante incentive for the CU that could work as a market-based stabilization mechanism complementary to that of explicit regulation

Corrección en el artículo de R.G. Espinosa et al. « Optimización de código para un simulador de estructuras aporticadas y su implementación como herramienta productiva »

Peer Reviewe

New embedded digital front-end for high resolution PET scanner

This work describes a new digital front-end for a high-resolution low-cost animal PET scanner which is currently under development. The advances in flexibility and size of modern FPGAs together with the release of new tools enable the integration of most of the front-end electronics in a single FPGA. The implemented system includes a small 32-bit RISC processor, several peripherals attached to the internal buses and a special DSP unit closely attached to the processor which is dedicated to the detection of the gamma events. On top of these, a small footprint real time operating system abstracts the underlying hardware, providing the mechanisms to combine on-chip slow control and data streamingThis work was supported in part by the FPU Research Grant from the Spanish Education and Science Ministry, by the Spanish Thematic Network IM3 (PI052204) and project TEC2004-07052-C02-02Publicad

Non-linear Dynamics in Discretionary Accruals: An Analysis of Bank Loan-Loss Provisions

Several studies have characterized the relation between discretionary accruals and earnings before-taxes to test for the existence of earnings smoothing behaviors. In this paper, we argue that the characteristic response of accruals to earnings is not linear, as the literature has shown. Instead, it is likely to be driven by non-linear patterns since both the incentives to manipulate earnings and the practical way to do so depend, in part, on the relative size of earnings. Using a sample of 9,442 US banks in the period 1999-2008, this paper shows that bank managers tend to use provisions as a smoothing devise when earnings are substantial ('cookie-jar' strategies), engage in earnings-decreasing strategies when losses are relatively large ('big-bath' accounting) and, most of the time, use provisions as an earnings-increasing tool. Hence, it is shown that nonlinear specifications are more informative with regard to the different strategies employed to manipulate earnings

Changes of the Neutron Flux of the Nuclear Reactor Triga Mark III Since the Conversion from High to Low 235U Enrichment

The neutron flux of the Triga Mark III research reactor was studied using nuclear track detectors. The facility of the National Institute for Nuclear Research (ININ), operates with a new core load of 85 LEU 30/20 (Low Enriched Uranium) fuel elements. The reactor provides a neutron flux around 2 × 1012 n cm-2s-1 at the irradiation channel. In this channel, CR-39 (allyl diglycol policarbonate) Landauer® detectors were exposed to neutrons; the detectors were covered with a 3 mm acrylic sheet for (n, p) reaction. Results show a linear response between the reactor power in the range 0.1 - 7 kW, and the average nuclear track density with data reproducibility and relatively low uncertainty (±5%). The method is a simple technique, fast and reliable procedure to monitor the research reactor operating power levels

Comments on: Implications of structural variations in the human sacrum: why is an anatomical classification crucial?

We sincerely appreciate the work done by Mahato [1] in which a qualitative classification of the sacrum is done to determine the number of segments, position of auricular surfaces, symmetry and abnormalities. This work is of the utmost importance since it is crucial for several surgical interventions and at the same time correlates certain pathologies with the morphology, mostly low back pai