Schwinger--Dyson BRST symmetry and the Batalin--Vilkovisky Lagrangian Quantisation of Gauge Theories with Open or Reducible Gauge Algebras

In this short note we extend the results of Alfaro and Damgaard on the origin of antifields to theories with a gauge algebra that is open or reducible.Comment: 10p, CERN-TH-6858/93, KUL-TF-93/1

Back to Basics in Banking? A Micro-Analysis of Banking System Stability

This paper analyzes the relationship between banks’ divergent strategies toward specialization and diversification of financial activities and their ability to withstand a banking sector crash. We first generate market-based measures of banks’ systemic risk exposures using extreme value analysis. Systemic banking risk is measured as the tail beta, which equals the probability of a sharp decline in a bank’s stock price conditional on a crash in a banking index. Subsequently, the impact of (the correlation between) interest income and the components of non-interest income on this risk measure is assessed. The heterogeneity in extreme bank risk is attributed to differences in the scope of non-traditional banking activities: non-interest generating activities increase banks’ tail beta. In addition, smaller banks and better-capitalized banks are better able to withstand extremely adverse conditions. These relationships are stronger during turbulent times compared to normal economic conditions. Overall, diversifying financial activities under one umbrella institution does not improve banking system stability, which may explain why financial conglomerates trade at a discount.diversification;non-interest income;financial conglomerates;banking stability;extreme value analysis;tail risk

Redefining B-twisted topological sigma models

A recently proposed variation on the usual procedure to perform the topological B-twist in rigid $N=2$ models is applied to the case of the $\sigma$ model on a K\"ahler manifold. This leads to an alternative description of Witten's topological $\sigma$ model, which allows for a proper BRST interpretation and ghost number assignement. We also show that the auxiliary fields, which are responsible for the off shell closure of the $N=2$ algebra, play an important role in our construction.Comment: one reference adde

Corporate Governance, Opaque Bank Activities, and Risk/Return Efficiency: Pre- and Post-Crisis Evidence from Turkey

Does better corporate governance unambiguously improve the risk/return efficiency of banks? Or does either a re-orientation of banks' revenue mix towards more opaque products, an economic downturn, or tighter supervision create off-setting or reinforcing effects? The authors relate bank efficiency to shortfalls from a stochastic risk/return frontier. They analyze how internal governance mechanisms (CEO duality, board experience, political connections, and education profile) and external governance mechanisms (discipline exerted by shareholders, depositors, or skilled employees) determine efficiency in a sample of Turkish banks. The 2000 financial crisis was a wakeup call for bank efficiency and corporate governance. As a result, better corporate governance mechanisms have been able to improve risk/return efficiency when the economic, regulatory, and supervisory environments are more stable and bank products are more complex.corporate governance;bank risk;noninterest income;crisis;frontier

Back to the basics in banking ? A micro-analysis of banking system stability

This paper analyzes the relationship between banks’ divergent strategies toward specialization and diversification of financial activities and their ability to withstand a banking sector crash. We first generate market-based measures of banks’ systemic risk exposures using extreme value analysis. Systemic banking risk is measured as the tail beta, which equals the probability of a sharp decline in a bank’s stock price conditional on a crash in a banking index. Subsequently, the impact of (the correlation between) interest income and the components of non-interest income on this risk measure is assessed. The heterogeneity in extreme bank risk is attributed to differences in the scope of non-traditional banking activities: non-interest generating activities increase banks’ tail beta. In addition, smaller banks and better-capitalized banks are better able to withstand extremely adverse conditions. These relationships are stronger during turbulent times compared to normal economic conditions. Overall, diversifying financial activities under one umbrella institution does not improve banking system stability, which may explain why financial conglomerates trade at a discountdiversification, non-interest income, financial conglomerates, banking stability, extreme value analysis, tail risk

The Determinants of Pass-Through of Market Conditions to Bank Retail Interest Rates in Belgium

We analyse the pass-through of money market rates to retail interest rates at the disaggregate level in the Belgian banking market. First, we measure the extent of pass-through for a total of fourteen products. We find that the response varies over loans and deposits and depends positively on the maturity of the product. Second, the launch of EMU has generally not resulted in more competitive pricing by banks. Third, we assess the importance of several biases and find that heterogeneity in price-setting behaviour should be accounted for in analysing the pass-through. Fourth, we analyse bank-specific determinants of heterogeneous interest rate pass-through. We find a role for capital, liquidity and market share and we relate these results to the various channels in monetary policy transmission and to the structure-conduct-performance hypothesis in banking.pass-through, Heterogeneous panel, aggregation bias, panel cointegration, retailbanking, bank-level interest rates, bank-level determinants