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Probabilidad de incumplimiento e indicadores de riesgo en la banca europea: un enfoque regulatorio
Este proyecto de investigación propone la estimación de una nueva medida de riesgo bancario que considera el actual marco regulatorio de Basilea, la Probabilidad de Incumplimiento (Probability of Default- PD) estimada a partir del modelo SYMBOL (SYstemic Model of Bank Originated Losses). Tomando como referencia bancos cotizados europeos, analizamos las relaciones existentes entre los indicadores de riesgo bancario establecidos por la Autoridad Bancaria Europea (EBA), y la nueva medida de probabilidad de incumplimiento. Los análisis apoyan el uso conjunto de la PD basada en el modelo SYMBOL con los indicadores de riesgo propuestos por la EBA, para un análisis más completo de las pérdidas bancarias inesperadas. Además, nuestros resultados pueden ser útiles para diseñar nuevas regulaciones centradas en los factores claves del negocio bancario que afectan a la probabilidad de impago, como adecuación de capital, calidad de los activos y rentabilidad.
Sample Size, Skewness and Leverage Effects in Value at Risk and Expected Shortfall Estimation
The thesis analyzes the effect that the sample size, the asymmetry in the distribution of returns and the leverage in their volatility have on the estimation and forecasting of market risk in financial assets. The goal is to compare the performance of a variety of models for the estimation and forecasting of Value at Risk (VaR) and Expected Shortfall (ES) for a set of assets of different nature: market indexes, individual stocks, bonds, exchange rates, and commodities. The three chapters of the thesis address issues of greatest interest for the measurement of risk in financial institutions and, therefore, for the supervision of risks in the financial system. They deal with technical issues r...
Risk Measures with Applications in Finance and Economics
Risk measures play a vital role in many subfields of economics and finance. It has been proposed that risk measures could be analysed in relation to the performance of variables extracted from empirical real-world data. For example, risk measures may help inform effective monetary and fiscal policies and, therefore, the further development of pricing models for financial assets such as equities, bonds, currencies, and derivative securities.
Three Essays in Financial Markets. The Bright Side of Financial Derivatives: Options Trading and Firm Innovation
Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent citations per dollar of R&D invested. We then investigate how more active options markets affect firms' innovation strategy. Our results suggest that firms with greater trading activity pursue a more creative, diverse and risky innovation strategy. We discuss potential underlying mechanisms and show that options appear to mitigate managerial career concerns that would induce managers to take actions that boost short-term performance measures. Finally, using several econometric specifications that try to account for the potential endogeneity of options trading, we argue that the positive effect of options trading on firm innovation is causal.
Essays on Risk and Uncertainty in Economics and Finance
This book adds to the resolution of two problems in finance and economics: i) what is macro-financial uncertainty? : How to measure it? How is it different from risk? How important is it for the financial markets? And ii) what sort of asymmetries underlie financial risk and uncertainty propagation across the global financial markets? That is, how risk and uncertainty change according to factors such as market states or market participants. In Chapter 2, which is entitled “Momentum Uncertainties”, the relationship between macroeconomic uncertainty and the abnormal returns of a momentum trading strategy in the stock market is studies. We show that high levels of uncertainty in the economy ...
La financiación de las pyme europeas: su relación con el entorno bancario e institucional
Las pequeñas y medianas empresas (pyme) suelen encontrar grandes dificultades en el acceso a la financiación que necesitan para el desarrollo de su actividad empresarial. Estas empresas, en comparación con aquellas de mayor tamaño, son percibidas como empresas de alto riesgo debido a que sus estados financieros no suelen estar auditados, a la falta de un amplio historial crediticio o a la ausencia de activos que ofrecer como garantías. Estas características agravan las asimetrías informativas y los problemas de agencia y, como consecuencia, las pyme acaban experimentando graves restricciones financieras. Sin embargo, las decisiones de financiación de las pyme no sólo dependen de sus...
The Europeanization of National Foreign Policies Towards Latin America
Who shapes the European Union's policy towards Latin America? How has this EU policy modified individual member states' relations with the region? This book provides a comparative account of seven member states' bilateral links with Latin America since 1945, in the context of their EU membership and based on the concept of 'Europeanization'. It illustrates how and why the main architects of this EU policy have been Spain and Germany. In contrast, Poland, Sweden and Ireland, which had little previous interaction with Latin America, have developed their current relations with that region virtually as a result of their EU membership. The United Kingdom and France lie in the middle: they have been influential in certain policy-areas and key periods in history, while they have adapted to what is done at the EU level in others. Practitioners, established academic experts as well emerging scholars in the field bring to be bear a novel combination of pioneering research and cutting edge conceptual analysis on this important but neglected area of the EU's foreign relations.
Insurance and Issues in Financial Soundness
This paper explores insurance as a source of financial system vulnerability. It provides a brief overview of the insurance industry and reviews the risks it faces, as well as several recent failures of insurance companies that had systemic implications. Assimilation of banking-type activities by life insurers appears to be the key systemic vulnerability. Building on this experience and the experience gained under the FSAP, the paper proposes key indicators that should be compiled and used for surveillance of financial soundness of insurance companies and the insurance sector as a whole.
Resolution of Failed Banks by Deposit Insurers
"There is a wide cross-country variation in the institutional structure of bank failure resolution, including the role of the deposit insurer. The authors use quantitative analysis for 57 countries and discuss specific country cases to illustrate this variation. Using data for over 1,700 banks across 57 countries, they show that banks in countries where the deposit insurer has the responsibility of intervening failed banks and the power to revoke membership in the deposit insurance scheme are more stable and less likely to become insolvent. Involvement of the deposit insurer in bank failure resolution thus dampens the negative effect that deposit insurance has on banks' risk taking. "--World Bank web site.
