Basel III Liquidity Risk Measures and Bank Failure

Basel III banking regulation emphasizes the use of liquidity coverage and nett stable funding ratios as measures of liquidity risk. In this paper, we approximate these measures by using global liquidity data for 391 hand-selected, LIBOR-based, Basel II compliant banks in 36 countries for the period 2002 to 2012. In particular, we compare the risk sensitivity of the aforementioned Basel III liquidity risk measures to those of traditional measures such as the nonperforming assets ratio, return-on-assets, LIBOR-OISS, Basel II Tier 1 capital ratio, government securities ratio, and brokered deposits ratio. Furthermore, we use a discrete-time hazard model to study bank failure. In this regard, we find that Basel III risk measures have limited ability to predict bank failure when compared with their traditional counterparts. An important result is that a higher liquidity coverage ratio is associated with a higher bank failure rate. We also find that market-wide liquidity risk (proxied by LIBOR-OISS) was the major predictor of bank failures in 2009 and 2010 while idiosyncratic liquidity risk (proxied by other liquidity risk measures) was less. In particular, our contribution is the first to achieve these results on a global scale over a relatively long period for a variety of banks

Basel III and Asset Securitization

Asset securitization via special purpose entities involves the process of transforming assets into securities that are issued to investors. These investors hold the rights to payments supported by the cash flows from an asset pool held by the said entity. In this paper, we discuss the mechanism by which low-and high-quality entities securitize low-and high-quality assets, respectively, into collateralized debt obligations. During the 2007-2009 financial crisis, asset securitization was seriously inhibited. In response to this, for instance, new Basel III capital and liquidity regulations were introduced. Here, we find that we can explicitly determine the transaction costs related to low-quality asset securitization. Also, in the case of dynamic and static multipliers, the effects of unexpected negative shocks such as rating downgrades on asset price and input, debt obligation price and output, and profit will be quantified. In this case, we note that Basel III has been designed to provide countercyclical capital buffers to negate procyclicality. Moreover, we will develop an illustrative example of low-quality asset securitization for subprime mortgages. Furthermore, numerical examples to illustrate the key results will be provided. In addition, connections between Basel III and asset securitization will be highlighted

Sagittal abdominal diameter: no advantage compared with other anthropometric measures as a correlate of components of the metabolic syndrome in elderly from the Hoorn Study.

BACKGROUND: The sagittal abdominal diameter has been proposed as a useful measure by which to estimate abdominal obesity and as being more strongly related to components of the metabolic syndrome than are other anthropometric measures. OBJECTIVE: The objective was to study which anthropometric measure (ie, sagittal abdominal diameter, waist circumference, waist-to-hip ratio, waist-to-height ratio, or body mass index) is the strongest correlate of components of the metabolic syndrome (ie, glucose and lipid concentrations and blood pressure) in the elderly. DESIGN: The Hoorn Study is a population-based cohort study in older Dutch men and women. Cross-sectional data were analyzed. Age-adjusted Pearson correlations of anthropometric measures with components of the metabolic syndrome were calculated in 826 subjects (389 men, 437 women) aged 56-83 y. Analyses were performed with adjustment for age and stratification for sex and age (/=65 y). RESULTS: No single anthropometric measure was consistently correlated more strongly with components of the metabolic syndrome than were the other measures in either men or women. The associations were generally stronger in younger subjects than in older subjects and in women than in men. For example, the correlation between sagittal abdominal diameter and postload glucose was 0.35 (P < 0.001) in younger and 0.14 (P = 0.051) in older men, and the correlation between waist circumference and postload glucose was 0.33 (P < 0.001) in older women and 0.14 (P = 0.062) in older men. CONCLUSION: The use of sagittal abdominal diameter has no advantages over simpler and more commonly used anthropometric measures such as the waist circumference in older men and women

Prevalence and sociodemographic correlates of stunting, underweight, and overweight among Palestinian school adolescents (13-15 years) in two major governorates in the West Bank

<p>Abstract</p> <p>Background</p> <p>There is little information about height and weight status of Palestinian adolescents. The objective of this paper was to assess the prevalence of stunting, underweight, and overweight/obesity among Palestinian school adolescents (13-15 years) and associated sociodemographic factors in 2 major governorates in the West Bank.</p> <p>Methods</p> <p>A Cross-sectional survey was conducted in 2005 comprising 1942 students in 65 schools in Ramallah and Hebron governorates. Data was collected through self-administered questionnaires from students and parents. Weights and heights were measured. Overweight and obesity were assessed using the 2000 Centers for Disease Control and Prevention (CDC) reference and the International Obesity Task Force (IOTF) criteria. Stunting and underweight were assessed using the 2000 CDC reference.</p> <p>Results</p> <p>Overweight/obesity was more prevalent in Ramallah than in Hebron and affected more girls than boys. Using the 2000 CDC reference, the prevalence of overweight and obesity in Ramallah among boys was 9.6% and 8.2%, respectively versus 15.6% and 6.0% among girls (P < 0.01). In Hebron, the corresponding figures were 8.5% and 4.9% for boys and 13.5% and 3.4% for girls (P < 0.01). Using the IOTF criteria, the prevalence of overweight and obesity among boys in Ramallah was 13.3% and 5.2%, respectively versus 18.9% and 3.3% for girls. The prevalence of overweight and obesity among boys in Hebron was 10.9% and 2.2%, respectively versus 14.9% and 2.0% for girls. Overweight/obesity was associated with high standard of living (STL) among boys and with the onset of puberty among girls. More boys were underweight than girls, and the prevalence was higher in Hebron (12.9% and 6.0% in boys and girls, respectively (P < 0.01)) than in Ramallah (9.7% and 3.1% in boys and girls, respectively (p < 0.01)). The prevalence of stunting was similar in both governorates, and was higher among boys (9.2% and 9.4% in Ramallah and Hebron, respectively) than among girls (5.9% and 4.2% in Ramallah and Hebron, respectively). Stunting was negatively associated with father's education among boys and with urban residence, medium STL and onset of puberty among girls.</p> <p>Conclusion</p> <p>Under- and overnutrition co-exist among Palestinian adolescents, with differences between sexes. Region, residence, STL, and onset of puberty were associated factors.</p

Is Overweight in Stunted Preschool Children in Cameroon Related to Reductions in Fat Oxidation, Resting Energy Expenditure and Physical Activity?

Recent studies suggest that early modifications in metabolic pathways and behaviour, leading to energy conservation and reduced linear growth, could represent adaptations to nutritional constraints during foetal life and infancy. Impaired fat oxidation, low resting energy expenditure and reduced physical activity, resulting from these adaptations, could facilitate fat storage and development of overweight in growth-retarded children that consume more energy-dense food. This study aims at assessing whether: (1) dual-burden preschool children (simultaneously stunted and overweight) of Yaounde (Cameroon) have low birth-weight (indicator of foetal undernutrition) and reductions in fat oxidation, resting energy expenditure (REE) and physical activity, (2) fat oxidation, REE and physical activity are associated with foetal growth.162 children (24-72 months) were considered: 22 stunted-overweight (SO), 40 stunted (S), 41 overweight (O), and 59 non stunted-non overweight (NSNO). Nutritional status and body composition were assessed using anthropometry and multifrequency bioimpedance analysis. Fasting respiratory quotient (RQ) and REE were measured by indirect calorimetry. Physical activity was determined using accelerometers, food questionnaires were used for diet assessment and birth-weight was noted. Mean RQs and REE (weight adjusted) did not differ between stunted children (SO and S) and non-stunted children (O and NSNO). SO and S children spent more time in sedentary activities than O children (p = 0.01 and p = 0.02, respectively) and less time in moderate-to-vigorous activities than NSNO children (p = 0.05 and p = 0.04, respectively). SO children's diet was less diverse (p = 0.01) with less animal products (p = 0.006). Multiple linear regressions model revealed that birth-weight is predictive of RQ (β = 0.237, p<0.01, R(2) = 0.08).This study showed that growth retardation in stunted-overweight children could be associated with postnatal nutritional deficiencies. Overweight in stunted children could be associated with reduced physical activity in the context of nutrition transition. High birth-weight was a predictor of reduced lipid oxidation, a risk factor of fat deposition

Minimizing Banking Risk in a Lévy Process Setting

The primary functions of a bank are to obtain funds through deposits from external sources and to use the said funds to issue loans. Moreover, risk management practices related to the withdrawal of these bank deposits have always been of considerable interest. In this spirit, we construct Lévy process-driven models of banking reserves in order to address the problem of hedging deposit withdrawals from such institutions by means of reserves. Here reserves are related to outstanding debt and acts as a proxy for the assets held by the bank. The aforementioned modeling enables us to formulate a stochastic optimal control problem related to the minimization of reserve, depository, and intrinsic risk that are associated with the reserve process, the net cash flows from depository activity, and cumulative costs of the bank's provisioning strategy, respectively. A discussion of the main risk management issues arising from the optimization problem mentioned earlier forms an integral part of our paper. This includes the presentation of a numerical example involving a simulation of the provisions made for deposit withdrawals via treasuries and reserves