Internal ratings, the business cycle, and capital requirements: some evidence from an emerging market economy

The concept of risk-based capital requirements enjoys widespread support. Effective implementation, however, requires that risk be measured accurately both across borrowers and across time. Under the New Capital Accord, the cornerstone of this risk measurement process is the rating of the borrower. In this paper we use the ratings assigned by individual Mexican banks to examine how measured credit risk for these banks has changed since the financial crisis in the mid 1990s. We then examine the implications of these changes for regulatory capital under the proposed changes to the Basel Capital Accord. We find that measured risk increased after the crisis and then fell as the recovery took hold. In turn, despite the limitations of the data, we find that the proposed internal ratings approach would have generated large swings in regulatory capital requirements over the second half of the 1990s, with required capital increasing significantly in the aftermath of the crisis, and then falling as the economy recovered. Looking forward, if movements in actual bank capital were to show this same cyclical variation, then business cycle fluctuations may be amplified by developments in the banking industry.Risk management ; Banks and banking

Distress Dependence and Financial Stability

This paper defines a set of systemic financial stability indicators which measure distress dependence among the financial institutions in a system, thereby allowing to analyze stability from three complementary perspectives: common distress in the system, distress between specific banks, and cascade effects associated with a specific bank. Our approach defines the banking system as a portfolio of banks and infers the system’s multivariate density (BSMD) from which the proposed measures are estimated. The BSMD embeds the banks’ default inter-dependence structure that captures linear and non-linear distress dependencies among the banks in the system, and its changes at different times of the economic cycle. The BSMD is recovered using the CIMDO-approach, a new approach that, in the presence of restricted data, improves density specification without explicitly imposing parametric forms that, under restricted data sets, are difficult to model. Thus, the proposed measures can be constructed from a very limited set of publicly available data and can be provided for a wide range of both developing and developed countries.

Consistent measures of systemic risk

This paper presents a methodology to infer multivariate densities that characterize the asset values for a system of financial institutions, and applies it to quantify systemic risk. These densities, which are inferred from partial information but are consistent with the observed probabilities of distress of financial institutions, outperform parametric distributions typically employed in risk measurement. The multivariate density approach allows us to propose complementary and statistically consistent metrics of systemic risk, which we estimate using market-based data to analyze the evolution of systemic risk in Europe and the U.S., throughout the financial crisis

Factores que motivan el uso de la biblioteca universitaria (The motivation’s factors to library university use)

Abstract: This paper presents the results of a documentary search about factors that motivate the use of university library. Literature about these factors was not found, either not standards or indicators used to measure those factors’ impact. On the other side, evidence was found about the decrease in library attendance, reported by the university libraries themselves; however, no evidence about the causes of this phenomenon was found. In such a context, this article presents a research project that will be applied in 3 universities at Northeast Mexico, in which a methodology to identify and analyze motivation in students to use the university library is proposed. Resumen: En este trabajo se presentan los resultados de la revisión documental sobre el tema de los factores que motivan el uso de la biblioteca universitaria. No se encontró literatura sobre estos factores y tampoco se encontraron normas o indicadores de referencia que permitan medir su impacto. Por otro lado, se encontró evidencia de un descenso en la asistencia reportada por las bibliotecas de las instituciones de educación superior, pero no se encontró evidencia de sus causas. Ante este escenario, en el presente artículo se plantea un proyecto de investigación que se aplicará en 3 universidades del noreste de México, en el cual se propone una metodología para identificar y analizar los factores que motivan, a sus estudiantes para utilizar la biblioteca universitaria

Macroprudential stress tests: a reduced-form approach to quantifying systemic risk losses

We present a novel approach that incorporates individual entity stress testing and losses from systemic risk effects (SE losses) into macroprudential stress testing. SE losses are measured using a reduced-form model to value financial entity assets, conditional on macroeconomic stress and the distress of other entities in the system. This valuation is made possible by a multivariate density which characterizes the asset values of the financial entities making up the system. In this paper this density is estimated using CIMDO, a statistical approach, which infers densities that are consistent with entities' probabilities of default, which in this case are estimated using market-based data. Hence, SE losses capture the effects of interconnectedness structures that are consistent with markets' perceptions of risk. We then show how SE losses can be decomposed into the likelihood of distress and the magnitude of losses, thereby quantifying the contribution of specific entities to systemic contagion. To illustrate the approach, we quantify SE losses due to Lehman Brothers' default

A comprehensive multi-sector tool for analysis of Systemic Risk and Interconnectedness (SyRIN)

This paper presents the Systemic Risk and Interconnectedness (SyRIN) tool. SyRIN allows a comprehensive assessment of systemic risk via quantification of the impact of risk amplification mechanisms, due to interconnectedness structures across banks and other financial intermediaries-insurance, pension fund, hedge fund and investment fund sectors, which cannot be captured when analyzing sectors independently. The tool produces various metrics to evaluate systemic risk from complementary perspectives, including tail risk, cross-entity interconnectedness and the contribution to systemic risk by different entities and sectors. SyRIN is easily implementable with publicly available data and can be adapted to cater to different degrees of institutional granularity and data availability. The framework is designed to be a tool to identify vulnerabilities from a top-down perspective that can lead to deeper analysis in specific sectors for policy formulation

Factores endógenos y exógenos que impactan en el uso de la biblioteca en tres universidades del área metropolitana de Monterrey, Nuevo León

La presente investigación se propuso identificar los factores que motivan a los estudiantes de tres instituciones de educación superior del área metropolitana de Monterrey a utilizar la biblioteca universitaria. Para abordar la cuestión se diseñó un modelo de análisis multivariable que integra nueve factores, los cuales se desprenden de la propia operación de la biblioteca (factores endógenos), así como del contexto académico y cultural en el cual ésta efectúa su función (factores exógenos). El modelo se aplicó a las percepciones de una muestra estratificada de alumnos de sexto semestre de las tres instituciones participantes, medidas con el auxilio de una escala de Likert. Los resultados comprobaron la predicción del modelo y mostraron la existencia de cinco variables que impactan de manera significativa en el uso de la biblioteca universitaria. Posteriormente se analizaron muestras individuales de las tres instituciones y se agrupó a los alumnos en tres áreas de conocimiento. Se obtuvieron resultados significativos diferentes en cada una de las muestras. Abstract The purpose of this research was to identify the factors that motivate students to use libraries in three universities in metropolitan Monterrey. The study employed a multivariate analysis model incorporating factors associated exclusively with the library’s operation (endogenous factors) and factors associated with the academic and cultural context in which the library operates (exogenous factors). A stratified sample of sixth semester students enrolled in the three universities responded to the instrument designed to measure the target perceptions. Results show that five variables (out of nine) predicted by the model in fact significantly influence use of the university library. Additionally, the study analyzes individual samples from the three universities, grouping these into three major knowledge areas. Measures of library use for these groups are significantly distinct

Bank Regulation and Macroeconomic Fluctuations

Over the last two decades, macroeconomic cycles were frequently associated with boom-bust cycles in bank lending and asset prices, often followed by financial instability. In this paper we argue that (i) the new pattern of macroeconomic cycles is partly the result of banking-sector liberalization since the early/mid-1970s, which has increased the procyclicality of the financial system; (ii) the regulation of bank capital in the form of capital adequacy requirements is itself inherently pro cyclical and may therefore amplify business-cycle fluctuations; (iii) the new Basel II Accord may considerably accentuate the procyclicality of the regulatory system

Factores que motivan el uso de la biblioteca universitaria

Abstract: This paper presents the results of a documentary search about factors that motivate the use of university library. Literature about these factors was not found, either not standards or indicators used to measure those factors’ impact. On the other side, evidence was found about the decrease in library attendance, reported by the university libraries themselves; however, no evidence about the causes of this phenomenon was found. In sucha context, this article presents a research project that will be applied in 3 universities at Northeast Mexico, in which a methodology to identify and analyze motivation in students to use the university library is proposed.Keywords: academic library, library use studies, library users, motivation, library services, user satisfactionResumen: En este trabajo se presentan los resultados de la revisión documental sobre el tema de los factores que motivan el uso de la biblioteca universitaria. No se encontró literatura sobre estos factores y tampoco se encontraron normas o indicadores de referencia que permitan medir su impacto. Por otro lado, se encontró evidencia de un descenso en la asistencia reportada por las bibliotecas de las instituciones de educación superior, pero no se encontró evidencia de sus causas. Ante este escenario, en el presente artículo se plantea unproyecto de investigación que se aplicará en 3 universidades del noreste de México, en el cual se propone una metodología para identificar y analizar los factores que motivan, a sus estudiantes para utilizar la biblioteca universitaria.Palabras clave: biblioteca universitaria, estudios de uso de biblioteca, usuarios de biblioteca, motivación, servicios bibliotecarios, satisfacción de usuarios