Rating assignments: Lessons from international banks

This paper estimates ordered logit and probit regression models for bank ratings which also include a country index to capture country-specific variation. The empirical findings provide support to the hypothesis that the individual international bank ratings assigned by Fitch Ratings are underpinned by fundamental quantitative financial analyses. Also, there is strong evidence of a country effect. Our model is shown to provide accurate predictions of bank ratings for the period prior to the 2007 – 2008 banking crisis based upon publicly available information. However, our results also suggest that quantitative models are not likely to be able to predict ratings with complete accuracy. Furthermore, we find that both quantitative models and rating agencies are likely to produce highly inaccurate predictions of ratings during periods of financial instability

A material balance approach for modelling banks’ production process with non-performing loans

The aim of this to study is to examine how non-performing loans on the balance sheets of Japanese banks affect their performance by adopting a material balance principle. The paper outlines how the material balance conditions can be applied when modelling banks’ production process in the presence of non-performing loans. The paper utilizes the generalized weak G-disposability principle which accounts for the heterogeneity among banks’ input quality. We test how an input-oriented model (non-performing loans are treated as an input), the weak disposability assumption and the adopted material balance approach, affect banks’ performance levels. We apply our test on a sample of Japanese banks over the period 2013 to 2019. Our findings indicate that the input-oriented model and the material balance estimator even if they present similar distributions, they account differently the effect of non-performing loans’ fluctuations over the examined period. In addition, the results under the weak disposability assumption are found to be different compared to the material balance measures and less sensitive to banks’ non-performing loans variation levels. We also provide evidence that the generalized weak G-disposability assumption captures better banks’ performance fluctuations that has been caused by the restructuring of the Japanese banking industry

Bank Efficiency, Productivity and Convergence in EU countries: A Weighted Russell Directional Distance Model

The objective of this study is three-fold. First we estimate and analyse bank efficiency and productivity changes in the EU28 countries with the application of a novel approach, a weighted Russell directional distance model. Second, we take a disaggregated approach and analyse the contribution of the individual bank inputs on bank efficiency and productivity growth. Third, we test for convergence in EU28 bank productivity as well as in the inefficiency of individual bank inputs. We find that bank efficiency has been undermined by the financial crisis in banks notably from the EU15 countries. We also argue that bank efficiency and productivity in EU countries vary across the banking sector with banks from the ‘old’ EU showing higher efficiency levels. Nonetheless, a noticeable catching up process is observed for banks from the ‘new’ EU countries. Consequently, we do not find evidence of group convergence for bank productivity but there is evidence of convergence in bank efficiency change and technical change among the EU28 countries throughout the period 2005-2014. The driving force seems to be convergent technical change from the old EU Member States’ banks. On the other hand, almost no convergence is detected for the banks’ individual inputs while the transition paths show heightened diversity during the crisis years

Do productive firms get external finance? Evidence from Chinese listed manufacturing firms

© 2019 Elsevier Inc. Due to information asymmetry problem in financial markets good quality firms often find it difficult to prove to external finance providers about their true quality and to distinguish themselves from bad quality firms. We argue that instead of sending indirect signals to financial market good quality firms could focus on improving their productivity to obtain external finance. Besides relying solely on firms' balance sheet information external finance providers using firms' TFP or labour productivity information would have a true knowledge of firms' efficiency and risk. Overall, using a panel of 1591 Chinese listed manufacturing firms between 2003 and 2016 we find that productivity measured by TFP or labour productivity is statistically and economically important and positive in determining firms' external finance, i.e. total leverage, new issue of equity and long-term debt. We find that productivity is helpful for firms to raise new equity finance, but only some weak results for total leverage and long-term debt. Such results hold for both the whole sample and private firm sample. We also find that large and/or old firms and exporting firms are able to make better use of their productivity to gain external finance than their respective counterparts, i.e. small young firms and non-exporting firms. The causality of the regression results is also confirmed by difference-in-difference tests using an exogenous industrial policy shock

Do evolutionary algorithms indeed require random numbers? Extended study

An inherent part of evolutionary algorithms, that are based on Darwin theory of evolution and Mendel theory of genetic heritage, are random processes. In this participation, we discuss whether are random processes really needed in evolutionary algorithms. We use n periodic deterministic processes instead of random number generators and compare performance of evolutionary algorithms powered by those processes and by pseudo-random number generators. Deterministic processes used in this participation are based on deterministic chaos and are used to generate periodical series with different length. Results presented here are numerical demonstration rather than mathematical proofs. We propose that a certain class of deterministic processes can be used instead of random number generators without lowering of evolutionary algorithms performance. © Springer International Publishing Switzerland 2013

Effect of particle properties of powders on the generation and transmission of raman scattering

Transmission Raman measurements of a 1 mm thick sulfur-containing disk were made at different positions as it was moved through 4 mm of aspirin (150-212 mu m) or microcrystalline cellulose (Avicel) of different size ranges (<38, 53-106, and 150-212 mu m). The transmission Raman intensity of the sulfur interlayer at 218 cm(-1) was lower when the disk was placed at the top or bottom of the powder bed, compared to positions within the bed and the difference between the sulfur intensity at the outer and inner positions increased with Avicel particle size. Also, the positional intensity difference was smaller for needle-shaped aspirin than for granular Avicel of the same size. The attenuation coefficients for the propagation of the exciting laser and transmitted Raman photons through the individual powders were the same but decreased as the particle size of Avicel increased; also, the attenuation coefficients for propagation through 150-212 mu m aspirin were almost half of those through similar sized Avicel particles. The study has demonstrated that particulate size and type affect transmitted Raman intensities and, consequently, such factors need to be considered in the analysis of powders, especially if particle properties vary between the samples

Clinical outcomes in a subpopulation of adults with Morquio A syndrome: results from a long-term extension study of elosulfase alfa

Background: This post hoc subanalysis examined outcomes in adult patients with Morquio A (mucopolysaccharidosis IVA) who received enzyme replacement therapy (ERT) with elosulfase alfa over a 120-weeks period. Patients ≥18 years of age evaluated in an open-label, long-term extension study of elosulfase alfa (modified per protocol [MPP], n = 32; intent-to-treat [ITT], n = 37; MOR-005; NCT01415427) were compared with the ≥18-year-old untreated population with 2-years follow-up from a Morquio A natural history study (n = 10; MorCAP; NCT00787995). The MOR-005 MPP population excluded patients who underwent orthopedic surgical procedures or were noncompliant with study protocol (defined as missing ≥20% of ERT infusions). No MorCAP patients underwent orthopedic surgical procedures during the relevant time period. Endurance was assessed by the 6-min walk test (6MWT) and 3-min stair climb test (3MSCT). Activities of daily living (ADLs) were assessed by the MPS Health Assessment Questionnaire (MPS HAQ). / Results: Least squares (LS) mean (SE) 6MWT distances increased by 34.9 (11.7) m (MPP) and 30.5 (10.8) m (ITT) by week 120; LS mean (SE) change in 3MSCT at week 120 was 6.7 (1.8) stairs/min (MPP) and 5.9 (1.7) stairs/min (ITT). MorCAP patients showed no improvement in 6MWT distance or 3MSCT over a similar period of time. Pulmonary function measures remained unchanged in both MOR-005 and MorCAP adults. All MPS HAQ domain scores improved in MOR-005 adults, whereas MorCAP adults had unchanged caregiver assistance and mobility outcomes and worsened self-care outcomes. / Conclusions: Long-term ERT in adult patients with Morquio A was associated with increased endurance and improvement in performance of ADLs. / Trial registration: Trial Registration NCT01415427. Name of registry: Long-Term Efficacy and Safety Extension Study of BMN 110 in Patients With Mucopolysaccharidosis IVA (Morquio A Syndrome). Registered 8 August 2011, retrospectively registered

Risk management of the banking system: an emerging market survey

The purpose of this paper is to examine risk management of the Vietnamese banking system. This is the first such study of the Vietnamese banking system. To be able to carry out a comparative analysis and provide policy recommendations for risk management, we carry out an original survey of Vietnamese commercial banks using a questionnaire. 42% of the interviewees are General/Deputy General Directors and 58% are Heads/Deputies of a risk management department. The Kruskal-Wallis, Pearson chi-square and other tests are employed to examine the relationship between risk management and bank efficiency. The survey results indicate that there is a difference between banks in terms of risk area identification, risk intensification methods prioritized, risk monitoring methods, efficiency improvement suggestions, awareness of other banks' risk management systems and credit risk analysis