The aim of this study is to understand the influence of high-performance work system (HPWS) on Job Satisfaction (JS), Organization commitment (OC), Job complexity (JC) and intention to quit (QI). For this purpose, a quantitative method was used. Data was collected from a questionnaire administered to 110 employees who are associated in banking and education sectors in Karachi. Different statistical techniques were used for analysis such as descriptive statistics, confirmatory factor analysis and structural equation modeling. The results demonstrate a synergistic effect of HPWS, meaning that the combined effects of three sets of HR practices (skill-enhancing, motivation-enhancing and opportunity-enhancing practices) is greater than the sum of each set taken individually. Overall the findings demonstrate the potential of implication of these HR practices to influence the attitudinal and behavioral outcomes and the organizational performance.
{"title":"Impact of High-Performance Work System on Job Satisfaction, Organizational Commitment, Job Complexities and Intention to Quit: A Karachi Based Study on Banking and Education Industry.","authors":"A. Rahmatullah, D. Siddiqui","doi":"10.2139/ssrn.3384162","DOIUrl":"https://doi.org/10.2139/ssrn.3384162","url":null,"abstract":"The aim of this study is to understand the influence of high-performance work system (HPWS) on Job Satisfaction (JS), Organization commitment (OC), Job complexity (JC) and intention to quit (QI). For this purpose, a quantitative method was used. Data was collected from a questionnaire administered to 110 employees who are associated in banking and education sectors in Karachi. Different statistical techniques were used for analysis such as descriptive statistics, confirmatory factor analysis and structural equation modeling. The results demonstrate a synergistic effect of HPWS, meaning that the combined effects of three sets of HR practices (skill-enhancing, motivation-enhancing and opportunity-enhancing practices) is greater than the sum of each set taken individually. Overall the findings demonstrate the potential of implication of these HR practices to influence the attitudinal and behavioral outcomes and the organizational performance.","PeriodicalId":405783,"journal":{"name":"PSN: Financial Institutions (Topic)","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123453660","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Access to credit is still one of the greatest obstacles to the growth of small and medium-sized enterprises (SMEs) in Viet Nam. To date, only 39% of SMEs have bank loans. To cater to SMEs’ need for financial sources, especially formal sources such as the banking system, the Vietnamese government has implemented a large number of supporting programs, including the credit guarantee scheme (CGS) for SMEs, which it established in 2001. Through collecting, synthesizing, and analyzing data, we aim to study the challenges involved in implementing CGSs for SMEs as well as the causes of their poor performance. The fundamental reasons we find include the strict and impractical conditions for issuing credit guaranteed loans; the lack of adequate professional competence of staff involved in the credit guaranteeing task; the fragmented relationship between the credit institution and the CGS; and the lack of a credit database platform that facilitates access to finance for SMEs by providing comprehensive and reliable creditworthiness.
{"title":"Challenges in Implementing the Credit Guarantee Scheme for Small and Medium-Sized Enterprises: The Case of Viet Nam","authors":"Le Ngoc Dang, Anh Tu Chuc","doi":"10.2139/ssrn.3470044","DOIUrl":"https://doi.org/10.2139/ssrn.3470044","url":null,"abstract":"Access to credit is still one of the greatest obstacles to the growth of small and medium-sized enterprises (SMEs) in Viet Nam. To date, only 39% of SMEs have bank loans. To cater to SMEs’ need for financial sources, especially formal sources such as the banking system, the Vietnamese government has implemented a large number of supporting programs, including the credit guarantee scheme (CGS) for SMEs, which it established in 2001. Through collecting, synthesizing, and analyzing data, we aim to study the challenges involved in implementing CGSs for SMEs as well as the causes of their poor performance. The fundamental reasons we find include the strict and impractical conditions for issuing credit guaranteed loans; the lack of adequate professional competence of staff involved in the credit guaranteeing task; the fragmented relationship between the credit institution and the CGS; and the lack of a credit database platform that facilitates access to finance for SMEs by providing comprehensive and reliable creditworthiness.","PeriodicalId":405783,"journal":{"name":"PSN: Financial Institutions (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123845704","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We analyze the strategic interaction between undercapitalized banks and a supervisor who may intervene by preventive recapitalization. Supervisory forbearance emerges because of a commitment problem, reinforced by fiscal costs and constrained capacity. Private incentives to comply are lower when supervisors have lower credibility, especially for highly levered banks. Less credible supervisors (facing higher cost of intervention) end up intervening more banks, yet producing higher forbearance and systemic costs of bank distress. Importantly, when public intervention capacity is constrained, private recapitalization decisions become strategic complements, leading to equilibria with extremely high forbearance and high systemic costs of bank failure.
{"title":"Bank Capital Forbearance","authors":"N. Martynova, E. Perotti, J. Suárez","doi":"10.2139/ssrn.3354512","DOIUrl":"https://doi.org/10.2139/ssrn.3354512","url":null,"abstract":"We analyze the strategic interaction between undercapitalized banks and a supervisor who may intervene by preventive recapitalization. Supervisory forbearance emerges because of a commitment problem, reinforced by fiscal costs and constrained capacity. Private incentives to comply are lower when supervisors have lower credibility, especially for highly levered banks. Less credible supervisors (facing higher cost of intervention) end up intervening more banks, yet producing higher forbearance and systemic costs of bank distress. Importantly, when public intervention capacity is constrained, private recapitalization decisions become strategic complements, leading to equilibria with extremely high forbearance and high systemic costs of bank failure.","PeriodicalId":405783,"journal":{"name":"PSN: Financial Institutions (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131176074","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The Final Report and recommendations of the Royal Commission into Misconduct in the Banking, Superannuation and Financial Services Industry, led by the Hon Kenneth Hayne AC QC, was published on 4 February 2019. The Commonwealth Government's response: highlighting the actions it will take in respect of all of the recommendations. The report (and the preceding interim report) found widespread misconduct. While the focus was on the financial sector the issues highlighted in the Report have wider application for the management and governance of corporate Australia generally. Primarily the Commission found responsibility for the misconduct rested with boards and senior management.
由Kenneth Hayne AC QC议员领导的银行业、养老金和金融服务业不当行为皇家委员会的最终报告和建议于2019年2月4日发布。联邦政府的回应:强调它将针对所有建议采取的行动。该报告(以及之前的中期报告)发现了广泛的不当行为。虽然报告的重点是金融部门，但报告中强调的问题对澳大利亚公司的管理和治理具有更广泛的应用。欧盟委员会发现，董事会和高级管理层对不当行为负有主要责任。
{"title":"The Wider Implications of the Hayne Report for Corporate Australia","authors":"A. Lumsden","doi":"10.2139/ssrn.3342855","DOIUrl":"https://doi.org/10.2139/ssrn.3342855","url":null,"abstract":"The Final Report and recommendations of the Royal Commission into Misconduct in the Banking, Superannuation and Financial Services Industry, led by the Hon Kenneth Hayne AC QC, was published on 4 February 2019. The Commonwealth Government's response: highlighting the actions it will take in respect of all of the recommendations. The report (and the preceding interim report) found widespread misconduct. \u0000 \u0000While the focus was on the financial sector the issues highlighted in the Report have wider application for the management and governance of corporate Australia generally. Primarily the Commission found responsibility for the misconduct rested with boards and senior management.","PeriodicalId":405783,"journal":{"name":"PSN: Financial Institutions (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123727285","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A sound and effective banking system is the backbone of an economy. ICICI Bank is India's second-largest bank with total assets of ` 4,062.34 billion (US$ 91 billion) at March 31, 2011 and profit after tax ` 51.51 billion (US$ 1,155 million) for the year ended March 31, 2011. The Bank has a network of 2,752 branches and 9,225 ATMs in India, and has a presence in 19 countries, including India. In order to compare and analyze various deposits of ICICI Bank over a period of time, percentage methods, co-efficient of variations, linear trend and compound growth rate have been used. The secondary data collected through internet, books, newspaper, journals records and brochures from 2008-09 to 2017-18. The study examines the growth of deposits of ICICI bank in head office and branches. The objectives of the present study are: To find out the trend and growth of deposits of ICICI bank in head office and branches during 2008-09 to 2017-18. To study the employee engagement of ICICI bank. To assess the product and services offered by ICICI bank. It is found that the trend co-efficient was found to be statistically significant for deposits of ICICI Bank in branch offices. It indicates, on an average, deposits of ICICI Bank in branches had increased by 0.1502 percent per annum. The value R2 indicates that the 85 to 81 percent variations in dependent variable explained by time variable. ICICI Bank achieved competitive advantage by enabling rapid roll out of new products, faster customer service and reduced time-to-market, to cater to the ever-growing needs of customers. Its open architecture and flexibility has enabled easy integration with multiple systems. ICICI Bank positioned itself as technology-savvy, customer-friendly bank. Thus, ICICI Bank accords utmost concern to customer satisfaction by offering innovative and need based financial products and services using state-of-the art technology. Thus it can be concluded that the perceptions and experiences of the customers on the technology deployment in ICICI Bank was in favour of up gradation of technology.
{"title":"An Analysis of Deposits and Lending Behaviours of ICICI Bank","authors":"D. Amutha, Muthu Maha Laxmi","doi":"10.2139/ssrn.3342489","DOIUrl":"https://doi.org/10.2139/ssrn.3342489","url":null,"abstract":"A sound and effective banking system is the backbone of an economy. ICICI Bank is India's second-largest bank with total assets of ` 4,062.34 billion (US$ 91 billion) at March 31, 2011 and profit after tax ` 51.51 billion (US$ 1,155 million) for the year ended March 31, 2011. The Bank has a network of 2,752 branches and 9,225 ATMs in India, and has a presence in 19 countries, including India. In order to compare and analyze various deposits of ICICI Bank over a period of time, percentage methods, co-efficient of variations, linear trend and compound growth rate have been used. The secondary data collected through internet, books, newspaper, journals records and brochures from 2008-09 to 2017-18. The study examines the growth of deposits of ICICI bank in head office and branches. \u0000 \u0000The objectives of the present study are: \u0000To find out the trend and growth of deposits of ICICI bank in head office and branches during 2008-09 to 2017-18. \u0000To study the employee engagement of ICICI bank. \u0000To assess the product and services offered by ICICI bank. \u0000 \u0000It is found that the trend co-efficient was found to be statistically significant for deposits of ICICI Bank in branch offices. It indicates, on an average, deposits of ICICI Bank in branches had increased by 0.1502 percent per annum. The value R2 indicates that the 85 to 81 percent variations in dependent variable explained by time variable. ICICI Bank achieved competitive advantage by enabling rapid roll out of new products, faster customer service and reduced time-to-market, to cater to the ever-growing needs of customers. Its open architecture and flexibility has enabled easy integration with multiple systems. ICICI Bank positioned itself as technology-savvy, customer-friendly bank. Thus, ICICI Bank accords utmost concern to customer satisfaction by offering innovative and need based financial products and services using state-of-the art technology. Thus it can be concluded that the perceptions and experiences of the customers on the technology deployment in ICICI Bank was in favour of up gradation of technology.","PeriodicalId":405783,"journal":{"name":"PSN: Financial Institutions (Topic)","volume":"103 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116844529","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The participatory modes of Islamic financing including Musharakah and Mudarabah are widely accepted as the ideal modes of financing among the jurists of Islamic banking and finance. However, paradoxically, these are not the most popular modes of financing in practice. The practice of the participatory financing in Islamic banking is constrained by several factors. Therefore, Islamic banks are applying the adapted variants of Musharakah. The present study aims to explore the prevailing variants of participatory financing in the Islamic banking industry of Pakistan using multiple case studies strategy. Findings suggest that Islamic banks adapt the participatory financing to make these fit for SME financing, corporate financing, consumer financing, and commodity operations financing within the embedded contractual variants of Musharakah namely diminishing Musharakah and running Musharakah, while pure Musharakah and Mudarabah are not applied in practice. The study also provide insights into the design of participatory financing arrangements and the procedures adopted by Islamic banks for assessing and mitigating the underlying risks associated to the participatory financing , particularly the risk induced by asymmetric information including adverse selection, and moral hazards.
{"title":"Variants of Participatory Financing for Risk Assessment and Mitigation in Islamic Banking","authors":"M. Nouman, K. Ullah, Shafiullah Jan","doi":"10.22547/ber/11.4.1","DOIUrl":"https://doi.org/10.22547/ber/11.4.1","url":null,"abstract":"The participatory modes of Islamic financing including Musharakah and Mudarabah are widely accepted as the ideal modes of financing among the jurists of Islamic banking and finance. However, paradoxically, these are not the most popular modes of financing in practice. The practice of the participatory financing in Islamic banking is constrained by several factors. Therefore, Islamic banks are applying the adapted variants of Musharakah. The present study aims to explore the prevailing variants of participatory financing in the Islamic banking industry of Pakistan using multiple case studies strategy. Findings suggest that Islamic banks adapt the participatory financing to make these fit for SME financing, corporate financing, consumer financing, and commodity operations financing within the embedded contractual variants of Musharakah namely diminishing Musharakah and running Musharakah, while pure Musharakah and Mudarabah are not applied in practice. The study also provide insights into the design of participatory financing arrangements and the procedures adopted by Islamic banks for assessing and mitigating the underlying risks associated to the participatory financing , particularly the risk induced by asymmetric information including adverse selection, and moral hazards.","PeriodicalId":405783,"journal":{"name":"PSN: Financial Institutions (Topic)","volume":"175 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116334175","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The paper discusses the situation with the state of the heavily indebted economy in Cyprus and role that the remaining banks are playing which is to extract as much as possible from the collateral and guarantees they hold on bad loans. The Government is myopic in their approach which is to trust the banks to bring about an economic recovery. In the author's opinion this policy is more likely to sink the economy into a balance sheet recession.
{"title":"The Advent of Zombie Banks","authors":"S. Savvides","doi":"10.2139/ssrn.3319902","DOIUrl":"https://doi.org/10.2139/ssrn.3319902","url":null,"abstract":"The paper discusses the situation with the state of the heavily indebted economy in Cyprus and role that the remaining banks are playing which is to extract as much as possible from the collateral and guarantees they hold on bad loans. The Government is myopic in their approach which is to trust the banks to bring about an economic recovery. In the author's opinion this policy is more likely to sink the economy into a balance sheet recession.","PeriodicalId":405783,"journal":{"name":"PSN: Financial Institutions (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130265006","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-01-01DOI: 10.20885/jeki.vol5.iss1.art1
M. F. Alfarisi, S. Lukman
The present study investigates the efficiency of Islamic banks in Indonesia particularly for the period of 2014-2015. To meet that objective, the data envelopment analysis (DEA) particularly input-oriented, variable return to scale (VRS) has been employed. Additionally, twelve full-fledge Islamic commercial banks are included as the sample of the study. Having analysed using the DEA model, we find the average technical efficiency score of Islamic banks in 2014 is 0.843. In this regard, the inefficiency of Islamic banks is attributed equally to pure technical efficiency and scale efficiency. Moreover, the average technical efficiency score of Islamic banks for the year of 2015 is 0.832 which is lower than the previous year. The inefficiency of Islamic banks in 2015 is mainly contributed by the scale inefficiency. Moreover, the results reveal a declining productivity of Islamic banks during the period of study.
{"title":"Measuring Efficiency of Islamic Banks: Evidence From Indonesia","authors":"M. F. Alfarisi, S. Lukman","doi":"10.20885/jeki.vol5.iss1.art1","DOIUrl":"https://doi.org/10.20885/jeki.vol5.iss1.art1","url":null,"abstract":"The present study investigates the efficiency of Islamic banks in Indonesia particularly for the period of 2014-2015. To meet that objective, the data envelopment analysis (DEA) particularly input-oriented, variable return to scale (VRS) has been employed. Additionally, twelve full-fledge Islamic commercial banks are included as the sample of the study. Having analysed using the DEA model, we find the average technical efficiency score of Islamic banks in 2014 is 0.843. In this regard, the inefficiency of Islamic banks is attributed equally to pure technical efficiency and scale efficiency. Moreover, the average technical efficiency score of Islamic banks for the year of 2015 is 0.832 which is lower than the previous year. The inefficiency of Islamic banks in 2015 is mainly contributed by the scale inefficiency. Moreover, the results reveal a declining productivity of Islamic banks during the period of study.","PeriodicalId":405783,"journal":{"name":"PSN: Financial Institutions (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131077288","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Provision with financial consumer protection is an issue, to which precedence is given by the regulatory agencies and financial business operators, especially in the business sector of financial institutions where protection for financial services clients is provided by several laws, for example: law on financial institutions; law on credit information business; law on payment system; and law on consumer protection, etc., empowering the Bank of Thailand to stipulate regulations for the financial institutions to comply with, but from rapid development of technologies nowadays, emerge many new forms of products and services, probably complicating and resulting in unfairness to the consumers, who lack proper knowledge of the products and services. Therefore, the business operators are required to strictly comply with rules of fair administration of services to the clients (Market Conduct), stipulated by the Bank of Thailand, and build systematic cooperation with the regulatory agencies, in order to provide with protection for financial services clients and bring about confidence in the sector of financial institutions.
{"title":"Protection for Financial Services Clients of Thai Financial Institutions","authors":"Samrieng Mekkriengkrai, Supatra Phanwichit","doi":"10.2139/ssrn.3546318","DOIUrl":"https://doi.org/10.2139/ssrn.3546318","url":null,"abstract":"Provision with financial consumer protection is an issue, to which precedence is given by the regulatory agencies and financial business operators, especially in the business sector of financial institutions where protection for financial services clients is provided by several laws, for example: law on financial institutions; law on credit information business; law on payment system; and law on consumer protection, etc., empowering the Bank of Thailand to stipulate regulations for the financial institutions to comply with, but from rapid development of technologies nowadays, emerge many new forms of products and services, probably complicating and resulting in unfairness to the consumers, who lack proper knowledge of the products and services. Therefore, the business operators are required to strictly comply with rules of fair administration of services to the clients (Market Conduct), stipulated by the Bank of Thailand, and build systematic cooperation with the regulatory agencies, in order to provide with protection for financial services clients and bring about confidence in the sector of financial institutions.","PeriodicalId":405783,"journal":{"name":"PSN: Financial Institutions (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127768190","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The puzzle, rst detected in corporate bonds, consists of two stylized facts: Structural determinants of credit risk not only have low explanatory power but also fail to capture a systematic common factor in the residuals (Collin-Dufresne et al., 2001). For the case of banks, we hypothesize that the puzzle exists because of omitted network effects. We therefore extend the structural models to account for information spillovers based on bank business model similarities. To capture this channel, we propose and construct a new intuitive measure for portfolio overlap using the complete asset holdings of the largest banks in the Eurozone. Incorporating the network information into the structural model for bank credit spreads increases explanatory power and explains the systemic common factor in the residuals.
本文从信息传染的角度重新审视了银行信用违约掉期价差中的信用价差之谜。这个谜题首先在公司债券中被发现，它由两个程式化的事实组成:信用风险的结构性决定因素不仅解释力低，而且未能捕捉到残差中的系统共同因素(collins - dufresne et al.， 2001)。对于银行，我们假设这个谜题的存在是因为忽略了网络效应。因此，我们扩展了结构模型，以考虑基于银行业务模式相似性的信息溢出。为了抓住这一渠道，我们提出并构建了一个新的直观的衡量组合重叠的方法，使用欧元区最大银行的全部资产持有。将网络信息纳入银行信贷息差的结构模型，提高了解释能力，并解释了残差中的系统共同因素。
{"title":"Do Information Contagion and Business Model Similarities Explain Bank Credit Risk Commonalities?","authors":"Dieter Wang, I. van Lelyveld, Julia Schaumburg","doi":"10.2139/ssrn.3306189","DOIUrl":"https://doi.org/10.2139/ssrn.3306189","url":null,"abstract":"This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The puzzle, rst detected in corporate bonds, consists of two stylized facts: Structural determinants of credit risk not only have low explanatory power but also fail to capture a systematic common factor in the residuals (Collin-Dufresne et al., 2001). For the case of banks, we hypothesize that the puzzle exists because of omitted network effects. We therefore extend the structural models to account for information spillovers based on bank business model similarities. To capture this channel, we propose and construct a new intuitive measure for portfolio overlap using the complete asset holdings of the largest banks in the Eurozone. Incorporating the network information into the structural model for bank credit spreads increases explanatory power and explains the systemic common factor in the residuals.","PeriodicalId":405783,"journal":{"name":"PSN: Financial Institutions (Topic)","volume":"99 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123532731","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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