Systemic risk, macroprudential policy frameworks, monitoring financial systems and the evolution of capital adequacy

Arnold, Bruce Robert; Borio, Claudio; Ellis, Luci; Moshirian, Fariborz

doi:10.1016/j.jbankfin.2012.07.023

Cited by 123 publications

(76 citation statements)

References 25 publications

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“…Recently, main aspects of the regulatory reforms concentrating in measuring and regulating systemic risk. Arnold analyzed challenge of the monitory financial system, detected of vulnerability which might lead a further financial instability, indicating the way to set the prudential policies (Arnold, 2012). A danger of contagion could cause bank failure, at the same times, the contagious defaults could break down the substantial fraction in the banking system, and imposing higher a cost to society.…”

Section: Literature Reviewmentioning

confidence: 99%

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Challenges and Implementation of Financial Institutions Development Policy in Laos on 2016-2020

Sourigna¹,

Zhu²,

Ali³

2017

IBR

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This study focuses on the financial system development policy in 5 years of the Lao PDR which referring to "Lao strategic financial system development plan 2016-2025 and vision to 2030". The main policies include the upgrading and implementation of the supervision system, innovation in financial infrastructures with effective risk management, develop and stabilize banking system and non-banking financial institutions. Increasing number of the listed company and financial products creates diversification in the capital market. From the synthesizer environment and current situation of financial development in the country, the policy implementation challenges are analyzed from empirical environment of financial system in the country. Additionally, other challenges on supervision tools, under capitalization, less product types, small size of capital market, and risk management challenge which came from unconnected information system and uncompleted of related institutions are also discussed. Moreover, effective policy to address the challenges and the missing points for further policies are also discussed.

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Section: Literature Reviewmentioning

confidence: 99%

“…Financial Action Task Force encouraged to full implementation for supervisory plan. Many experts suggested that the authorities should estimate the challenges in the implemented result of regulation and supervision reforms (Berger, 2009;Arnold, 2012).…”

mentioning

confidence: 99%

Challenges and Implementation of Financial Institutions Development Policy in Laos on 2016-2020

Sourigna¹,

Zhu²,

Ali³

2017

IBR

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“…Penilaian sistem CAMEL ini, mengukur apakah manajemen bank telah melaksanakan sistem perbankan dengan asas-asas yang sehat.Indikator yang dapat mempengaruhi Camel yaitu aspek permodalan (Capital).Penilaian pendekatan kuantitatif dan kualitatif faktor permodalan antara lain dilakukan melalui penilaian terhadap komponen-komponen: kecukupan pemenuhan Kewajiban Penyediaan Modal Minimum (KPMM) terhadap ketentuan yang berlaku, komposisi permodalan, trend ke depan/proyeksi KPMM, aktiva produktif yang diklasifikasikan dibandingkan dengan modal bank, kemampuan bank memelihara kebutuhan penambahan modal yang berasal dari keuntungan (laba ditahan), rencana permodalan bank untuk mendukung pertumbuhan usaha, akses kepada sumber permodalan, serta kinerja keuangan pemegang saham untuk meningkatkan permodalan bank ( Zhang, et al, 2008;Shehzad et al, 2010;Arnold et al, 2012;Shaw et al, 2013).…”

Section: Pendahuluanunclassified

Analisis Kinerja Dengan Menggunakan Pendekatan Rasio Camel

Murdiati

Purwanto

2015

Jurnal Ilmu Managemen dan Organisasi

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“…Simultaneously, many research efforts are devoted to understand the role of banks or, broadly speaking, of financial institutions in the creation and in the consecutive spreading of systemic risk. Given the prominent importance of the topic and its multifaceted nature, the literature on evaluation and anticipation of systemic events is huge (see Demirgüç-Kunt and Detragiache, 1998;Kaminsky and Reinhart, 1999;Harrington, 2009;Scheffer et al, 2009;Barrell et al, 2010;Duttagupta and Cashin, 2011;Kritzman et al, 2011;Allen et al, 2012;Arnold et al, 2012;Bisias et al, 2012;Scheffer et al, 2012;Merton et al, 2013;Oet et al, 2013, among many contributions).…”

Section: Introductionmentioning

confidence: 99%

Assessing Systemic Risk Due to Fire Sales Spillover Through Maximum Entropy Network Reconstruction

2015

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Assessing systemic risk in financial markets is of great importance but it often requires data that are unavailable or available at a very low frequency. For this reason, systemic risk assessment with partial information is potentially very useful for regulators and other stakeholders. In this paper we consider systemic risk due to fire sales spillover and portfolio rebalancing by using the risk metrics defined by Greenwood et al. (2015). By using the Maximum Entropy principle we propose a method to assess aggregated and single bank's systemicness and vulnerability and to statistically test for a change in these variables when only the information on the size of each bank and the capitalization of the investment assets are available. We prove the effectiveness of our method on 2001-2013 quarterly data of US banks for which portfolio composition is available.JEL codes: C45;C80;G01;G33.

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Systemic risk, macroprudential policy frameworks, monitoring financial systems and the evolution of capital adequacy

Cited by 123 publications

References 25 publications

Challenges and Implementation of Financial Institutions Development Policy in Laos on 2016-2020

Challenges and Implementation of Financial Institutions Development Policy in Laos on 2016-2020

Analisis Kinerja Dengan Menggunakan Pendekatan Rasio Camel

Assessing Systemic Risk Due to Fire Sales Spillover Through Maximum Entropy Network Reconstruction

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