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

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

Diet of Common Chiffchaffs (Phylloscopus collybita) wintering in a wetland in south-east Spain

S'ha estudiat la dieta del mosquiter comú durant la seva hivernada en una zona humida mediterrània (Parc Natural del Fondo) mitjançant l'anàlisi del contingut dels pedrers de 17 individus que van morir accidentalment durant la captura per a anellament. La disponibilitat de les preses es va estimar a través de mostratges amb trampes d'aigua en dos hiverns. La major part de la dieta va estar composta per mosquits quironòmids que es van trobar en tots els individus analitzats i van representar aproximadament el 95% de les preses. Les mosques (Brachycera) van ser un dels taxons més capturats en les trampes, però representen menys del 0,5% de les preses trobades als pedrers. L'aplicació de l'anàlisi composicional va revelar que existeix una selecció de preses altament significativa. Els mosquiters comuns sembla que seleccionen preses poc mòbils i amb distribució contagiosa, com els quironòmids, mentre que eviten preses capaces d'escapar ràpidament com les mosques

Executive Compensation and Systemic Risk: The Role of Non-Interest Income and Wholesale Funding

This paper analyzes whether the excessive overreliance on non-interest income and wholesale funding, which occurred in the banking industry during the last two decades and led to increases in systemic risk, could arise from the desire of bank managers to increase their variable compensation. Using a sample of U.S. bank holding companies during 1995 to 2010, our results show that non-interest income is positively associated to a larger proportion of variable compensation. Also, while exercised options are more sensitive to income trading activities, bonuses tend to be related to the revenues originated from investment banking and venture capital activities. Similarly, a greater reliance on short-term wholesale funding positively associates with higher levels of variable compensation and bonuses. After the financial crisis, variable compensation and bonuses increased with non-interest income, but decreased with the use of short-term wholesale funding

Receptor GNSS doble antena y multifrecuencia para nanosatélites compatible con formato CUBESAT

Entre las principales líneas de trabajo de la UIDET SENyT se destaca al desarrollo de sistemas de navegación y telecomunicaciones. En particular, previamente a la creación de la UIDET se han desarrollado receptores para Sistemas Globales de Navegación por Satélite (GNSS) de alto desempeño aptos para aplicaciones espaciales en donde se requiere una elevada confiabilidad [1]. En este trabajo, se presenta la implementación y las pruebas de funcionamiento parciales de un receptor GNSS apto para su uso en satélites con factor de forma compatible con los denominados cubesats. El receptor posee dos entradas de antena y es capaz de operar en las bandas L1 y L2 de GPS y L1 de GLONASS, dos de los principales sistemas de navegación por satélite a nivel global.Facultad de Ingenierí

Fair Value Accounting, Earnings Management and the use of Available-for-Sale Instruments by Bank Managers

Fair value accounting in banking has been criticized for the increased volatility that it generates in some accounting variables. One of its advantages, however, is that it reduces the possibility of discretionary earnings management, given that all gains and losses are immediately recognized. In this paper we qualify both considerations. The accounting regime of available-for-sale (AFS) securities allows for some degree of earnings and capital management: an AFS asset is reported at fair value but gains and losses over historical cost go into net income and measures of regulatory capital only when the asset is sold and the gain or loss realized. We use comprehensive data from US commercial banks and bank holding companies and provide evidence that fair value gains in AFS assets have consistently been used for earnings and capital management and that the holdings of AFS assets are related to the intensity of this activity. Our results show that the earnings management behavior is present both in listed and non-listed banks, suggesting that the motivations go beyond the incentives provided by capital markets. We also uncover significant differences in earnings management behavior over the years of the financial crisis

RoboCrane: a system for providing a power and a communication link between lunar surface and lunar caves for exploring robots

Lava caves are the result of a geological process related to the cooling of basaltic lava flows. On the Moon, this process may lead to caves several kilometers long and diameters of hundreds of meters. Access to lava tubes can be granted through skylights, a vertical pit between the lava tube and the lunar surface. This represents an outstanding opportunity for long-term missions, for future permanent human settlements, and for accessing pristine samples of lava, secondary minerals and volatiles. Given this, the ESA launched a campaign through the Open Space Innovation Platform calling for ideas that would tackle the many challenges of exploring lava pits. Five projects, including Robocrane, were selected. Solar light and direct line of sight (for communications) with the lunar surface are not available inside lava tubes. This is a problem for any robot (or swarm of robots) exploring the lava tubes. Robocrane tackles both problems by deploying an element (called the Charging head, or CH) at the bottom of the skylight by means of a crane. This CH behaves as a battery charger and a communication relay for the exploring robots. The required energy is extracted from the crane’s solar panel (on the surface) and driven to the bottom of the skylight through an electrical wire running in parallel to the crane hoisting wire. Using a crane allows the system to deal with unstable terrain around the skylight rim and protect the wires from abrasion from the rocky surface and the pit rim. The charger in the CH is wireless so that the charging process can begin as soon as any of the robots get close enough to the CH. This avoids complex and time-consuming docking operations, aggravated by the skylight floor orography. The crane infrastructure can also be used to deploy the exploring robots inside the pit, reducing their design constraints and mass budget, as the robots do not need to implement their own self-deployment system. Finally, RoboCrane includes all the sensors and actuators for remote operation from a ground station. RoboCrane has been designed in a parametric tool so it can be dynamically and rapidly adjusted to input-variable changes, such as the number of exploring robots, their electrical characteristics, and crane reach, etc.Agencia Estatal de Investigación | Ref. RTI2018-099682-A-I0