Australian Banking Risk: The Stock Market’s Assessment and the Relationship Between Capital and Asset Volatility

The likelihood of a bank failing, within a given period of time, is a function of the variability in its income and its ability to withstand losses. These determinants depend, in turn, on the volatility of the return on bank assets and the bank’s level of capital. Although accounting measures of the volatility of the rate of return on bank assets and bank capital-asset ratios are published on a regular basis, market prices provide alternative risk measures. This paper uses share prices to estimate these risks measures for 15 Australian banks that were listed on the Australian Stock Exchange for all, or part of, the period 1983 to 1998. Option prices are also used to generate alternative estimates of these risk measures, the results of which corroborate those obtained from share prices. We find that the market’s assessment of the capital-asset ratio for the Australian banking sector has risen considerably over the sample period. There has also been a slight upward trend in the volatility of asset returns. These two trends have opposite effects on the market’s assessment of total bank risk: rising capital-asset ratios reduce bank risk, but rising asset volatility increases it. To uncover which trend has dominated, we examine a couple of measures of total bank risk, which summarises the net impact of movements in both the capital-asset ratio and asset volatility. These additional risk measures suggest that the riskiness of the sector has declined. In investigating the relationship between banks’ capital-asset ratio and asset volatility over time, we find that increases in the growth of the capital-asset ratio precede increases in asset volatility which, in turn, cause a slowdown in capital growth.solvency; capital; banking

26th Annual Computational Neuroscience Meeting (CNS*2017): Part 3 - Meeting Abstracts - Antwerp, Belgium. 15–20 July 2017

This work was produced as part of the activities of FAPESP Research,\ud Disseminations and Innovation Center for Neuromathematics (grant\ud 2013/07699-0, S. Paulo Research Foundation). NLK is supported by a\ud FAPESP postdoctoral fellowship (grant 2016/03855-5). ACR is partially\ud supported by a CNPq fellowship (grant 306251/2014-0)

25th annual computational neuroscience meeting: CNS-2016

The same neuron may play different functional roles in the neural circuits to which it belongs. For example, neurons in the Tritonia pedal ganglia may participate in variable phases of the swim motor rhythms [1]. While such neuronal functional variability is likely to play a major role the delivery of the functionality of neural systems, it is difficult to study it in most nervous systems. We work on the pyloric rhythm network of the crustacean stomatogastric ganglion (STG) [2]. Typically network models of the STG treat neurons of the same functional type as a single model neuron (e.g. PD neurons), assuming the same conductance parameters for these neurons and implying their synchronous firing [3, 4]. However, simultaneous recording of PD neurons shows differences between the timings of spikes of these neurons. This may indicate functional variability of these neurons. Here we modelled separately the two PD neurons of the STG in a multi-neuron model of the pyloric network. Our neuron models comply with known correlations between conductance parameters of ionic currents. Our results reproduce the experimental finding of increasing spike time distance between spikes originating from the two model PD neurons during their synchronised burst phase. The PD neuron with the larger calcium conductance generates its spikes before the other PD neuron. Larger potassium conductance values in the follower neuron imply longer delays between spikes, see Fig. 17.Neuromodulators change the conductance parameters of neurons and maintain the ratios of these parameters [5]. Our results show that such changes may shift the individual contribution of two PD neurons to the PD-phase of the pyloric rhythm altering their functionality within this rhythm. Our work paves the way towards an accessible experimental and computational framework for the analysis of the mechanisms and impact of functional variability of neurons within the neural circuits to which they belong

Evaluation of the Oil Fiscal Regime in Russia and Proposals for Reform

Oil revenue plays a central role in Russia''s economic development. Thus, the recent decline in oil production and investment, and the possible contribution of the current fiscal regime to these developments, have prompted a reassessment of the oil tax system in Russia. Some important changes have already been made, while others are underway. This paper uses a simulation model to evaluate Russia''s current oil fiscal regime. Based on these simulations, the paper proposes ways to make the fiscal regime more supportive of investment, while ensuring an appropriate share of oil sector profits for the government.Economic models;Natural gas sector;Oil production;Oil revenues;Oil sector;Resource mobilization;Tax systems;taxation, oil field, fiscal regime, oil and gas, tax burden, oil fields, crude oil, oil prices, fiscal regimes, tax base, tax system, tax rates, gas sector, government revenue, oil and gas sector, oil & gas, oil reserves, fiscal policy, fiscal instruments, tax revenue, petroleum taxation, budget law, taxable income, refined products, high tax burden, tax administration, fiscal factors, tax payments, million barrels per day, annual budget, tax avoidance, gas taxation, tax credits, oil industry, million barrels, world oil prices, fiscal objectives, tax liability, oil extraction, fiscal affairs, oil development, fuel oil, productive wells, withholding taxes, fiscal affairs department, oil supply, pipeline capacity, oil pipelines, global oil production, crude oils, national oil, petroleum oil, gas companies, fiscal health, fiscal affairs departments, fiscal stability, withholding taxes on interest, gas exports, fiscal policy formulation, budget deficit, crude oil production, oil companies, public finances, fiscal stimulus, tax policy, oil-producing countries, economic stability, energy information administration, opec, tax authorities, tax authority, petroleum sector, oil exports

*System Stability Department, Reserve Bank of Australia **Research and Financial Studies, Australian Prudential Regulation Authority

responsibility for any remaining errors. The views expressed herein are those of the authors and do not necessarily reflect the views of the Reserve Bank of Australia The likelihood of a bank failing, within a given period of time, is a function of the variability in its income and its ability to withstand losses. These determinants depend, in turn, on the volatility of the return on bank assets and the bank’s level of capital. Although accounting measures of the volatility of the rate of return on bank assets and bank capital-asset ratios are published on a regular basis, market prices provide alternative risk measures. This paper uses share prices to estimate these risk measures for 15 Australian banks that were listed on the Australian Stock Exchange for all, or part of, the period 1983 to 1998. Option prices are also used to generate alternative estimates of these risk measures, the results of which corroborate those obtained from share prices. We find that the market’s assessment of the capital-asset ratio for the Australian banking sector has risen considerably over the sample period. There has also been a slight upward trend in the volatilit

The online effect of transcranial direct current stimulation on corticospinal excitability

The after effect of tDCS is extremely variable both between and within individuals. To help to reduce the variability in after effect, we may need a greater understanding of the online effect of tDCS on corticospinal excitability