Research articles for the 2020-01-02

A New Form of Banking -- Concept and Mathematical Model of Venture Banking
Brian P Hanley

This model contains concept, equations, and graphical results for venture banking. A system of 27 equations describes the behavior of the venture-bank and underwriter system allowing phase-space type graphs that show where profits and losses occur. These results confirm and expand those obtained from the original spreadsheet based model. An example investment in a castle at a loss is provided to clarify concept. This model requires that all investments are in enterprises that create new utility value. The assessed utility value created is the new money out of which the venture bank and underwriter are paid. The model presented chooses parameters that ensure that the venture-bank experiences losses before the underwriter does. Parameters are: DIN Premium, 0.05; Clawback lien fraction, 0.77; Clawback bonds and equity futures discount, 1.5 x (USA 12 month LIBOR); Range of clawback bonds sold, 0 to 100%; Range of equity futures sold 0 to 70%.

A review of the Dividend Discount Model: from deterministic to stochastic models
Guglielmo D'Amico,Riccardo De Blasis

This chapter presents a review of the dividend discount models starting from the basic models (Williams 1938, Gordon and Shapiro 1956) to more recent and complex models (Ghezzi and Piccardi 2003, Barbu et al. 2017, D'Amico and De Blasis 2018) with a focus on the modelling of the dividend process rather than the discounting factor, that is assumed constant in most of the models. The Chapter starts with an introduction of the basic valuation model with some general aspects to consider when performing the computation. Then, Section 1.3 presents the Gordon growth model (Gordon 1962) with some of its extensions (Malkiel 1963, Fuller and Hsia 1984, Molodovsky et al. 1965, Brooks and Helms 1990, Barsky and De Long 1993), and reports some empirical evidence. Extended reviews of the Gordon stock valuation model and its extensions can be found in Kamstra (2003) and Damodaran (2012). In Section 1.4, the focus is directed to more recent advancements which make us of the Markov chain to model the dividend process (Hurley and Johnson 1994, Yao 1997, Hurley and Johnson 1998, Ghezzi and Piccardi 2003, Barbu et al. 2017, D'Amico and De Blasis 2018). The advantage of these models is the possibility to obtain a different valuation that depends on the state of the dividend series, allowing the model to be closer to reality. In addition, these models permit to obtain a measure of the risk of the single stock or a portfolio of stocks.

Circus Ring to Zoo to Museum: The Fragility of Factors in Characteristic-based Asset Pricing Models
Abhyankar, Abhay,Wu, Yudi
Economically relevant factors in asset pricing models should impound information on the future path of state variables that drive asset risk premia. Imposing this condition, we investigate which publicly available characteristics predict individual stock returns during the sample period used by Fama and French (1993) i.e. their discovery period and the post-1993 or out-of-sample period. We find four characteristics have significant predictive power, in the cross-section, over and above that of their factors. In the out-of-sample period, five new characteristics become significant predictors. Similar results are seen for the Chen and Zhang (2010) model. Next, we find that characteristics that forecast stock returns before and after major economic events are very different. Finally, we find that the ability of characteristics to reflect economic uncertainty and sentiment changes in sign and magnitude over time- often vanishing altogether. Our results suggest that the search for a unique characteristic-based asset pricing model is unlikely to be fruitful given the secular variation in the relation between the sources of macroeconomic risks and firm-level characteristics.

Empirical Testing of Capital Asset Pricing Model on Bahrain Bourse
Hawaldar, Iqbal Thonse
The study is undertaken to find out the relationship between portfolio returns and market returns and test the empirical validity of the standard CAPM model on Bahrain Bourse. The study is based on 39 companies listed in the Bahrain Bourse, Bahrain All Share Index as market proxy and yield of Government of Bahrain securities as risk free rate of return. The study covers period from January 1, 2011 to December 31, 2014. The analysis of the results of the study revealed that many of the independent variables together with beta can explain the portfolio returns. However, the intercept test reveals that the portfolio returns are equal to the risk-free rate of return. Therefore, we can conclude that the results of intercept test of standard CAPM proves the theory and the beta test results goes against the standard theory.

Empirical Testing of Month of the Year Effect on Selected Commercial Banks and Services Sector Companies Listed on Bahrain Bourse
Hawaldar, Iqbal Thonse ,Bolar, Shakila,Pinto, Prakash
In financial literature we find numerous studies examining the presence of diverse types of calendar anomalies in different stock exchanges of the world. The current paper aims to investigate the month of the year effect in randomly selected ten companies from banking sector and service sector traded on the Bahrain Bourse for a period of 5 years commencing from 1st January 2010 to 31st December 2014. The empirical research was conducted using descriptive statistics and Kruskalâ€"Wallis H-test. The findings of the study revealed that none of the companies selected for the study exhibited significant monthly returns for the study period except Bahrain Maritime and Mercantile International. The paper suggests that the absence of said calendar anomaly may be due to thin trading practiced in the Bahrain stock exchange.

Entropic Decision Making
Adnan Rebei

Using results from neurobiology on perceptual decision making and value-based decision making, the problem of decision making between lotteries is reformulated in an abstract space where uncertain prospects are mapped to corresponding active neuronal representations. This mapping allows us to maximize non-extensive entropy in the new space with some constraints instead of a utility function. To achieve good agreements with behavioral data, the constraints must include at least constraints on the weighted average of the stimulus and on its variance. Both constraints are supported by the adaptability of neuronal responses to an external stimulus. By analogy with thermodynamic and information engines, we discuss the dynamics of choice between two lotteries as they are being processed simultaneously in the brain by rate equations that describe the transfer of attention between lotteries and within the various prospects of each lottery. This model is able to give new insights on risk aversion and on behavioral anomalies not accounted for by Prospect Theory.

Equity Default Clawback Swaps to Implement Venture Banking
Brian P. Hanley

I propose creation of a venture bank, able to multiply the capital of a venture capital firm by at least 47 times, without requiring access to the Federal Reserve or other central bank apart from settlement. This concept rests on obtaining default swap instruments on loans in order to create the capital required, and expand Tier 1 and 2 base capital. Profitability depends on overall portfolio performance, availability of equity default swaps, cost of default swap, and the multiple of original capital (MOC) adopted by the venture bank. A new derivative financial instrument, the equity default swap (EDS), to cover loans made as venture investments. An EDS is similar to a credit default swap (CDS) but with some unique features. The features and operation of these new derivative instruments are outlined along with audit requirements. This instrument would be traded on open-outcry exchanges with special features to ensure orderly operation of the market. It is the creation of public markets for EDSs that makes possible the use of public market pricing to indirectly provide a potential market capitalization for the underlying venture-bank investment. Full coverage insulates the venture-bank from losses in most situations, and multiplies profitability quite dramatically in all scenarios. Ten year returns above 20X are attainable. Further, a new feature for EDS derivatives, a clawback lien, closes out the equity default swap. Here it is optimized at 77%, and is to be paid back to the underwriter at a future date to prevent perverse incentive to deliberately fail. This new feature creates an Equity Default Clawback Swap (EDCS) which can be used safely. This proposal also solves an old problem in banking, because it matches the term of the loan with the term of the investment. I show that the venture-bank investment and the EDCS underwriting business are profitable.

Growth and inequalities in a physicist's view
Angelo Tartaglia

The constraints on a continuous growth in a finite environment are formally analyzed, adding the effect of the necessary dynamics of costs. The unavoidable global collapse is deduced. The effect of competition in a growing economic system on the evolution of unequal share of wealth is also analyzed and discussed, showing the necessity of increase of inequalities under the premises of growth and competition.

Impact of Factors on the Utilization of Agricultural Credit of Banks: An Analysis from the Borrowers’ Perspective
Lokesh, Lokesh,Hawaldar, Iqbal Thonse
Agricultural credit is required for the development of agriculture scenario in any economy.Commercial, cooperative and regional rural banks have extended agricultural credit to the farmers in Dakshina Kannada district of India. The effectiveness of agricultural credit system depends on the utilization of credit funds by the borrowers. The present study made an attempt to understand the factors influencing the utilization of agricultural credit of banks in Dakshina Kannada. The study used primary and secondary data. Primary data are gathered from the borrowers of banks operating in Dakshina Kannada district. The study found that there is an impact of demographic, agriculture and agricultural credit factors on the purpose of utilization of agricultural credit in Dakshina Kannada district.

Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps
Farkas, Walter,Mathys, Ludovic,Vasiljevic, Nikola
The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in [BRSW04], [Ro08], [BMK09], [BP10], and [LV19]. In particular, we believe that quantifying market risk by strictly relying on point-in-time measures cannot be deemed a satisfactory approach in general. Instead, we argue that complementing this approach by studying measures of risk that capture the magnitude of losses potentially incurred at any time of a trading horizon is necessary when dealing with (m)any financial position(s). To address this issue, we propose an intra-horizon analogue of the expected shortfall for general profit and loss processes and discuss its key properties. Our intra-horizon expected shortfall is well-defined for (m)any popular class(es) of Levy processes encountered when modeling market dynamics and constitutes a coherent measure of risk, as introduced in [CDK04]. On the computational side, we provide a simple method to derive the intra-horizon risk inherent to popular Levy dynamics. Our general technique relies on results for maturity-randomized first-passage probabilities and allows for a derivation of diffusion and single jump risk contributions. These theoretical results are complemented with an empirical analysis, where popular Levy dynamics are calibrated to S&P 500 index data and an analysis of the resulting intra-horizon risk is presented.

On the probability flow in the Stock market I: The Black-Scholes case
Ivan Arraut,Alan Au,Alan Ching-biu Tse,Joao Alexandre Lobo Marques

It is known that the probability is not a conserved quantity in the stock market, given the fact that it corresponds to an open system. In this paper we analyze the flow of probability in this system by expressing the ideal Black-Scholes equation in the Hamiltonian form. We then analyze how the non-conservation of probability affects the stability of the prices of the Stocks. Finally, we find the conditions under which the probability might be conserved in the market, challenging in this way the non-Hermitian nature of the Black-Scholes Hamiltonian.

Performance Analysis of Commercial Banks in the Kingdom of Bahrain (2001-2015)
Hawaldar, Iqbal Thonse ,Lokesh, Lokesh,Kumar , Abhaya,Pinto, Prakash ,Sison, Sheila M
Banking sector plays a leading role in financing a country’s economic activities. Its performance is crucial in determining a country’s economic growth. This paper examines the performance of commercial retail banks (conventional and Islamic) in Bahrain and financial ratios were used for the period of 15 years 2001-2015 on parameters such as profitability, liquidity, operating efficiency, capital adequacy and leverage. The empirical results revealed that conventional retail banks, except for Bahrain development bank, have consistent performance in return on assets and return on equity while among the Islamic retail banks, the performance of Kuwait finance house is satisfactory in terms of profitability. The data also shows that all banks have satisfactory risk assets ratio. The commercial banks’ profitability and capital adequacy as well as their profitability and efficiency are statistically correlated. There is a significant difference in the capital adequacy but no significant difference in profitability and liquidity was found among the listed commercial retail banks.

Pricing and Performance of IPOs: Evidence from Indian Stock Market
Hawaldar, Iqbal Thonse ,K.R., Naveen Kumar ,Mallikarjunappa, T.
This study examines listing day performance of IPOs, book-built and fixed-price IPOs, post-listing aftermarket performance of IPOs, book-built and fixed-price IPOs in the Indian stock market. We examine pricing as well as long run performance of 464 (365 book-built IPOs and 99 fixed-price IPOs) Indian IPOs that went public between 2001 and 2011. The study covers 15 years from the financial year 2001 to 2015. Analysis of the results reveals that compared to fixed-price IPOs, book-built IPOs are underpriced by lesser magnitude. Moreover, book-built IPOs are associated with negative cumulative average abnormal returns (CAARs) up to fiveyears and beyond, the negative CAARs associated with fixed-price IPOs turn positive after one and one-half year and continue to be positive thereafter.

Regulatory Markets for AI Safety
Jack Clark,Gillian K. Hadfield

We propose a new model for regulation to achieve AI safety: global regulatory markets. We first sketch the model in general terms and provide an overview of the costs and benefits of this approach. We then demonstrate how the model might work in practice: responding to the risk of adversarial attacks on AI models employed in commercial drones.

Seasonal Analysis of Abnormal Returns after Quarterly Earnings Announcements
Hawaldar, Iqbal Thonse
This study examines whether the Indian stock market is efficient in semi-strong form and seasonality exists. For this purpose, we take the first and fourth quarters‟ results of companies for the years 2008 to 2011. We divide companies into good news and bad news portfolios on the basis of percentage changes in net profits and net sales. We use event study methodology. The results reveal that average abnormal returns occur randomly and cumulative average abnormal returns are significant for both portfolios. Fourth quarter results give better positive signals to the market than first quarter results. We conclude that seasonality exists in the Indian stock market and it is also semi-strong form inefficient and investors can use this opportunity to buy and earn abnormal profit.

Semi-Monthly Effect in Stock Returns: New Evidence from Bombay Stock Exchange
Bolar, Shakila,Pinto, Prakash ,Hawaldar, Iqbal Thonse
Semi-monthly effect is a kind of calendar anomalies which is less explored in the financial literature. The main objective of this paper to investigate the presence of semimonthly effect in selected sectoral indices of Bombay Stock Exchange (BSE). The study uses the daily stock returns of five sectoral indices viz S&P BSE Auto Index, S&P BSE Bankex, S&P BSE Consumer Durables Index, S&P BSE FMCG Index and S&P BSE Health Care Index for the period of 10 years starting from 1st April 2007 to 31st March 2017. The data were analyzed using two approaches namely calendar days approach and trading days approach. To test the equality of mean returns for the two halves of the month, Mann-Whitney U test is used. The empirical results of the study did not provide any evidence for the presence of semi-monthly effect in the selected sectoral indices. Nevertheless, BSE Auto Index showed significant difference in the mean returns of first half and second half of trading month during the study period.

Testing of Weak Form of Efficient Market Hypothesis: Evidence from the Bahrain Bourse
Hawaldar, Iqbal Thonse ,Rohith , Babitha ,Pinto, Prakash
Efficient market hypothesis (EMH) states that financial markets are “informationally efficient”, implying that current prices fully reflect all available information. The present study aims at testing the weak form of market efficiency of the individual stocks listed on the Bahrain Bourse for the period 2011 to 2015. Weak form of EMH is tested using the Kolmogorov-Smirnov goodness of fit test, run test and autocorrelation test. The K-S test result concludes that in general the stock price movement does not follow random walk. The results of the runs test reveals that share prices of seven companies do not follow random walk. Autocorrelation tests reveal that share prices exhibit low to moderate correlation varying from negative to positive values. As the study shows mixed results, it is difficult to conclude the weak form of efficiency of Bahrain Bourse.

The Community Reinvestment Act in the Age of Fintech and Bank Competition
Zuluaga, Diego
The Community Reinvestment Act (CRA) requires banks to lend to low- and moderate-income (LMI) households in the areas where they take deposits. But it has become obsolete.We have serious reservations as to whether any regulatory agency could have the wisdom necessary to administer such a system to the maximum benefit of competing economic interests. â€" Robert Bloom, acting Comptroller of the Currency, March 28, 1977When the CRA came into force in 1977, banks were the main source of loans for home buyers and small businesses, and restrictions on bank branching posed a high barrier to competition. Today’s competitive environment is much changed. The removal of branching restrictions has allowed banks to expand and consolidate â€" leading to a 77 percent increase in the number of bank offices since the CRA’s passage. Furthermore, a growing share of mortgage and small-business lending now comes from financial institutions that are not subject to the CRA. In fact, LMI borrowers represent a larger share of these institutions’ borrowers than they do for banks, which are subject to the CRA.Conversely, mounting evidence suggests the CRA is either ineffective or damaging. Before the financial crisis, community groups touted the act’s influence in lowering lending standards. Empirical research also shows that banks’ risk taking increases ahead of their CRA evaluations â€" contravening the CRA’s requirement that lending be consistent with bank safety and soundness. In cases where CRA lending is not riskier, evidence suggests that banks may be “skimming the top” â€" lending to high-income residents of low-income communities, thus meeting their regulatory mandate but failing to reach the people the CRA intends to help.There is a strong case for repealing the CRA in favor of alternative policies that better achieve its goals. It would be a mistake to expand the CRA to cover online (fintech) lenders and credit unions, which already serve LMI borrowers as well as, or better than, many lenders that are subject to the act. If the CRA remains in place, its regulations should change to allow banks to trade their CRA obligations in order to encourage lender specialization and efficiency.

The Impact of LIBOR Linked Borrowing to Cover Venture Bank Investment Loans Creates a New Systemic Risk
Brian P. Hanley

A scenario in which regulators take the drastic step of requiring coverage of all venture bank investment loans using interbank borrowed funds is considered. In this scenario, a minimal amount of default insurance is used, such that Tier 1 and 2 capital requirements are still met. To do this, the default insurance percentage on all investment loans is cut to 3.88%, although the minimum is 2.88%. Results: For a portfolio of 1.31X (ten year total conventional return) or better, at interest rates of 2% or better, the venture bank survives and can have excellent returns. For a portfolio of 1.5X (ten year total conventional return) the bank can have extraordinary returns below 1.5% interest and survive up to 3%. interest. However, if returns fall, or interest rates rise, then venture banks go underwater quite rapidly. Conclusion: Using LIBOR funds limits profitability, and damages stability of the bank, with no visible benefit to any party, thus creating a new systemic risk to the banking system.

The Impact of Oil Price Crisis on Financial Performance of Commercial Banks in Bahrain
Hawaldar, Iqbal Thonse ,Rohith , Babitha ,Pinto, Prakash ,T.M., Rajesha
Oil export is the major source of revenue for the countries in the Middle East. Their economies are sensitive to fluctuations in oil prices. The present study examines the impact of oil crisis on the performance of selected banks of Kingdom of Bahrain using profitability, efficiency, capital adequacy and liquidity ratios in the pre-crisis and crisis periods. The study reveals that there is no significant difference in the performance of banks in the pre-crisis and crisis period. The results indicate that there is a significant difference in the performance of сonventional banks and Islamic banks in the pre-crisis period. However, there is no significant difference in the performance of сonventional banks and Islamic banks during the crisis period.

The Impact of the Choice of Risk and Dispersion Measure on Procyclicality
Marcel Bräutigam,Marie Kratz

Procyclicality of historical risk measure estimation means that one tends to over-estimate future risk when present realized volatility is high and vice versa under-estimate future risk when the realized volatility is low. Out of it different questions arise, relevant for applications and theory: What are the factors which affect the degree of procyclicality? More specifically, how does the choice of risk measure affect this? How does this behaviour vary with the choice of realized volatility estimator? How do different underlying model assumptions influence the pro-cyclical effect? In this paper we consider three different well-known risk measures (Value-at-Risk, Expected Shortfall, Expectile), the r-th absolute centred sample moment, for any integer $r>0$, as realized volatility estimator (this includes the sample variance and the sample mean absolute deviation around the sample mean) and two models (either an iid model or an augmented GARCH($p$,$q$) model). We show that the strength of procyclicality depends on these three factors, the choice of risk measure, the realized volatility estimator and the model considered. But, no matter the choices, the procyclicality will always be present.

The perverse incentive for insurance instruments that are derivatives: solving the jackpot problem with a clawback lien for default insurance notes
Brian P. Hanley

When an insurance note is also a derivative a serious problem arises because a derivative must be fulfilled immediately. This feature of derivatives prevents claims processing procedures that screen out ineligible claims. This, in turn, creates a perverse incentive for insured holders of notes to commit acts that result in payment. This problem first surfaced with CDS contracts, which are part of a class of loan insurance I term a default insurance note.

Without an address to this problem, within the average range of returns for a large venture capital portfolio, a venture-bank makes less money the better their investments do, in a continuous function. The highest rate of return is a total loss, 64% more than a top portfolio.

Here, a strategy for removing this perverse incentive is defined, consisting of a clawback lien that returns part of the payment value as a lien on the firm that is the beneficiary of the insurance. This is presented as the final major component for implementing a default insurance note system so that venture-banking can operate to maximum benefit. Removing the perverse incentive also minimizes disincentive for underwriters to deny DIN coverage to new venture capital firms, or to those firms that have historical earnings which are below average.

Who Bears the Welfare Costs of Monopoly? The Case of the Credit Card Industry
Raveendranathan, Gajendran,Herkenhoff, Kyle
How are the welfare costs from monopoly distributed across U.S. households? We answer this question for the U.S. credit card industry, which is highly concentrated, charges interest rates that are 3.4 to 8.8 percentage points above perfectly competitive pricing, and has repeatedly lost antitrust lawsuits. We depart from existing competitive models by integrating oligopolistic lenders into a heterogeneous agent, defaultable debt framework. Our model accounts for 20 to 50 percent of the spreads observed in the data. Welfare gains from competitive reforms in the 1970s are equivalent to a one-time transfer worth between 0.24 and 1.66 percent of GDP. Along the transition path, 93 percent of individuals are better off. Poor households benefit from increased consumption smoothing, while rich households benefit from higher general equilibrium interest rates on savings. Transitioning from 1970 to 2016 levels of competition yields welfare gains equivalent to a one-time transfer worth between 1.87 and 3.20 percent of GDP. Lastly, homogeneous interest rate caps in 2016 deliver limited welfare gains.

Windows of Opportunity and Seasoned Equity Offerings: An Empirical Study
K.R., Naveen Kumar ,Hawaldar, Iqbal Thonse ,Mallikarjunappa, T.
Taking a sample of seasoned equity offerings (SEOs) by firms listed on Bombay Stock Exchange (BSE) from the year 1992 to 2012, we examine two of the key issues concerning SEOs. First, whether SEOs are underpriced, issued at a price lower than the prevailing market price; and second, whether companies time their issues. Study of 162 SEOs exhibits significant underpricing at 1% significance level leading us to conclude that SEOs in India are significantly underpriced. Analysis of abnormal returns for 114 SEOs taking different event windows surrounding issue opening dates reveals that, except for the âˆ'1 to + 1 event window, CAAR for all other event windows are significantly negative. This leads us to conclude that investors in India experience significantly negative abnormal returns surrounding SEO issue opening. Overall, findings of the study reveal that SEOs in India are underpriced and that there exist windows of opportunity for SEOs in India.

Bandi, Federico M.,Kolokolov, Aleksey,Pirino, Davide,Renò, Roberto
Asset prices can be stale. We define price “staleness” as lack of price adjustments yielding zero returns (i.e., zeros). The term “idleness” (resp. “near idleness”) is, instead, used to define staleness when trading activity is absent (resp. close to absent). Using statistical and pricing metrics, we show that zeros are a genuine economic phenomenon linked to the dynamics of trading volume and, therefore, liquidity. Zeros are, in general, not the result of institutional features, like price discreteness. In essence, spells of idleness or near idleness are stylized facts suggestive of a key, omitted market friction in the modeling of asset prices. We illustrate how accounting for this friction may generate sizable risk compensations in short-dated option returns.

네트워크 모형을 이용한 우리나라 은행부문의 시스템리스크 측정 (Measurement of the Korean Banking Sector Systemic Risk using Network Model)
Hyung, Namwon,Choi, Kyongwook,Kwon, Donghwee
Korean Abstract: 글로벌 금융위기 이후 시스템리스크의 ì¤'ìš"성이 부각되고 있다. 본 논문은 은행부문에서 개별 은행의 신용위험을 측정하고 은행 사이의 네트워크 구조에 ë"°ë¥¸ 위험 전이를 반영한 시스템리스크 측정방법을 사용하였다. 먼저 개별 금융기관 재무 상태를 반영한 신용위험의 시계열적 ë³€í™"를 살펴보았다. 또한 신용위험 측정 과정에서 ì¶"산된 개별 은행 자산가치 사이의 횡단면적 연계구조를 상관계수, 조건부 부도발생확률, 결합부도확률, Granger 인과관계 ë"± 다ì–'í•œ 방법으로 ì¶"정하여 은행 부문 시스템리스크를 측정하고, 도출된 시스템리스크의 시계열적 움직임을 살펴보았다. 다음으로 시스템리스크 내에서 개별 은행ë"¤ì´ 가지고 있ëŠ" 파생적 특성을 찾고, 각 은행이 시스템 연계구조 네트워크에서 ì–´ë–¤ 역할을 하고 있ëŠ"지, ì–´ë–¤ 은행이 ì¤'심적 위치에 해당하ëŠ" 지에 대해 분석하였다. 이ëŠ" 기존 시스템리스크 연구ë"¤ì´ 시도하지 못한 부분이다. 본 논문이 사용한 분석방법은 은행부문 시스템 안정성을 관리 감독해야 하ëŠ" 감독당국에게 다ì–'í•œ 시스템리스크 척도를 제공할 뿐만 아니라 상시로 시장을 감독할 수 있ëŠ" 유용한 수단을 제시한다. 결론적으로 시장 ì „ì²´ 특성을 파악하ëŠ" 척도와 함께 개별은행의 미시적 특성도 같이 제공한다ëŠ" 측면에서 본 연구 의의가 있다.English Abstract: The importance of systemic risk has been highlighted since the 2008  global financial crisis. In this paper, we propose a model that considers the cross-sectional and time series aspects of systemic risk simultaneously. Using a network model, we analyze the systemic risk within the banking sector. As a result, we measured the time series of credit risk reflecting the financial status of individual financial institutions. We also estimate the banking sector systemic risk using various methods such as correlation coefficient, conditional default probability, joint default probability, and Granger causality method. The analysis method of this paper provides a variety of systemic risk measures to central banks that analyze the stability of the system in the banking sector and may prove a useful means of supervising the market at all times. In conclusion, this study is meaningful in that it provides both the characteristics of the market as a whole and the micro characteristics of individual banks connected with system risk.

대손충당금 분류조정을 이용한 상호저축은행의 이익관리; 특별대손충당금을 ì¤'심으로 (Earnings Management of Savings Banks Using Loan Assets Classification: Focusing on Special Loan Loss Provision)
Park, Sung Jong,Cheung, Joon Hei,Cho, Seokhee,Ki, Do Hoon
Korean Abstract: 본 연구ëŠ" 상호저축은행이 특별대손충당금의 분류조정을 이용하여 이익을 조정하ëŠ"지를 살펴보았다. 상호저축은행은 일반(상업)은행과 달리 고정여신에 대한 충당금을 일부 자본으로 인정받ëŠ"다. 상호저축은행이 위 규정을 이용하여, 특별대손충당금의 분류조정을 통해 이익관리 및 자본관리를 수행하ëŠ"지 살펴보았다. 이를 검증하기 위하여 대손충당금 전입액을 일반대손충당금과 특별대손충당금으로 구분하고 대손충당금과 대손충당금 ì „ìž… 및 법인세 ì „ 이익과의 관련성을 살펴보았다. 실증분석결과 저축은행은 이익을 유연í™"하기 위하여 대출자산 항목의 분류조정을 이용하ëŠ" 것으로 나타났다. 구체적으로, 상호저축은행은 고정이하여신 ë‚´ 분류조정을 이용하여 특별대손충당금 전입액을 조정하여 이익을 유연í™"하고 있다. 재무건전성이 취약한(BIS 7% 미만) 저축은행의 경우에ëŠ" 특별대손충당금 전입액을 이용한 이익조정을 ë" 많이 하ëŠ" 것으로 나타났다. 이러한 ê²°ê³¼ëŠ" 저축은행의 고정여신의 충당금을 자본으로 인정하ëŠ" 현행 제도의 수정보완이 í•„ìš"함을 시사한다.English Abstract: This study examines earnings management method of savings banks which serve as representative financing institution for people with poor credit. Because regulatory and supervisory regulations of savings banks are different to those of commercial banks, managers of savings banks may reflect these characteristics in earnings management method. Especially, managers of the savings bank are expected to choose the earnings management method considering resulting costs and benefits such as effects on BIS ratio, discretion of loan assets classification, and the magnitude of earnings management. Empirical evidence indicates that savings bank discretionarily exploit classification of loans assets to smooth earnings. Specifically, managers discretionarily classify loan assets items upwards or downwards within non-performing assets. In addition, savings banks with BIS ratio lower than 7% tend to manage earnings upwards by classifying loan assets items upwards within non-performing assets to increase both net income and BIS ratio.The results of study imply that limitation of present regulatory and supervisory rules on savings banks incurs unintended negative effects on agency problem

부실금융회사의 조기정리를 위한 예금자보호법제의 개선방안 (A Study on Improvement of Depositor Protection Legislation for Early Resolution of Insolvent Financial Companies)
Oh, Sungkeun
Korean Abstract: 2007ë…„ 말부터 발생한 세계적인 금융위기를 계기로 주ìš"국은 다ì–'í•œ 분야에 걸쳐 금융규제를 새롭게 하고 있다. 부실금융회사(insolvent financial companies)에 대한 조기정리(early resolution) ë"± 효과적인 정리체계(resolution regimes)의 구축도 ê·¸ ì¤'의 하나이다.우리나라의 경우에ëŠ" 2015ë…„ 예금자보호법의 개정을 통하여 부실금융회사의 ë²"위를 ë„"힘으로써, 조기정리에 관한 여지를 남겨ë'ê³ ëŠ" 있으나, ê·¸ 절차 및 처리구조에 관한 상세한 법규ëŠ" 도입되지 아니한 상태이다. 그리하여 이 연구에서ëŠ" 부실금융회사가 조기정리 되ëŠ" 경우 주주권의 소멸 또ëŠ" 축소(extinction or downsizing)에 관한 주ìš"국의 논의상황을 살펴보고, ê·¸ 차이점을 분석한 후 우리나라의 예금자보호법제의 개선방안을 제시하였다.나아가 부실금융회사의 조기정리에 í•„ìš"í•œ 몇 가지 법・정책적 방안도 제시하여 보았다. 구체적으로ëŠ" â'  법원역할의 일부제한 및 행정절차 ì¤'심구조의 법제설계, â'¡ 독립된 법제구축, â'¢ 일반채권대비 예금자채권에 우선권(depositor preference)을 부여하ëŠ" 정책의 도입, â'£ 금융회사의 도덕적 해이(moral hazard) 방지, â'¤ 금융시장안정í™"정책의 ê°•í™" ë"±ì— 관한 내용을 포함하고 있다.English Abstract: As a result of the global financial crisis that began in late 2007, major countries are revising their financial regulations across a variety of sectors. One of these is the establishment of effective resolution regimes, such as for early resolution of insolvent financial companies. In Korea, the amendment of the Depositor Protection Act of 2015 extends the range of insolvent financial institutions and widens the scope for early resolution of insolvent financial companies, but detailed regulations on the procedures and structure have not been introduced. Therefore, in this study we examine the discussions in major countries on the extinction or downsizing of shareholders' rights in the case of early resolution of insolvent financial institutions. After analyzing the differences, methods of improvement are suggested for depositor protection legislation in Korea. In addition, we present some legal and regulatory measures necessary for early resolution of insolvent financial institutions. More specifically, these include:(1) a policy that partly restricts the role of the courts with a centralized legislative structure for administrative procedures, (2) an independent legal system, (3) introduction of a policy to provide a priority for depositor bonds and general bonds, (4) prevention of moral hazards at financial institutions, and (5) strengthening the financial market stabilization policy.

저축은행 안정성에 사외이사 ì „ê³µ, 경력 및 다ì–'성이 미치ëŠ" 영향 분석 (Savings Bank Stability and Outside Director Major, Career, and Diversity)
Kim, Hakkon
Korean Abstract: 본 연구ëŠ" 저축은행자료를 이용하여 사외이사의 경력 및 ì „ê³µ 특성이 저축은행의 고정이하여신비율, 위험가ì¤'자산비율, 그리고 BIS자기자본비율에 미치ëŠ" 영향을 분석하였다. 실증분석결과, 첫째, 이사회 ë‚´ 금융관련 경력을 가진 사외이사의 비율이 ë†'을수록 고정이하여신비율과 위험가ì¤'자산비율은 낮게, BIS자기자본비율은 ë†'게 나타났다. ë'˜ì§¸, 이사회 ë‚´ 사외이사의 경력다ì–'성이 ë†'을수록 고정이하여신비율은 ë†'게 나타났으며 BIS자기자본비율은 낮게 나타났다. 셋째, 상경계열을 전공한 사외이사의 비율이 ë†'을수록 고정이하여신비율은 감소하고 BIS자기자본비율은 증가한 반면 법학계열전공사외이사비율의 계수ëŠ" 대체적으로 유의하지 않았다. 넷째, 이사회 ë‚´ 사외이사의 전공다ì–'성이 ë†'을수록 고정이하여신비율은 ë†'게, BIS자기자본비율은 낮게 나타났다. 마지막으로 법 관련 경력 및 인문학 ì „ê³µ 사외이사 비율은 고정이하여신비율과 ì •(+)의 관계, BIS자기자본비율과 부(-)의 관계를 보였다. 이러한 ê²°ê³¼ëŠ" 금융과 관련된 경력 또ëŠ" 전공을 가진 사외이사일수록 저축은행 업무에 대해 상대적으로 ë†'은 이해도를 가질 수 있기 때문으로 보인다. 또한 본 연구의 ê²°ê³¼ëŠ" 사외이사의 경력 및 ì „ê³µ 다ì–'성의 증가ëŠ" 이사회의 효율성을 감소시켜 저축은행 안정성에 부정적 영향을 줄 수 있음을 시사한다.English Abstract: This paper shows the effects of outside directors’ work experience, major, and diversity on asset quality and capital adequacy of savings banks. First, the results show that savings banks with higher proportion of outside directors who have banking or finance work experience have lower non-performing loan ratio, lower risk weighted asset ratio, and higher BIS ratio. Second, savings banks with higher levels of outside directors’ career diversity have higher non-performing loan ratio and lower BIS ratio. Third, savings banks with higher proportion of outside directors who majored in business or economics fields have lower non-performing loan ratio and higher BIS ratio. Fourth, savings banks with higher levels of outside directors’ major diversity have higher non-performing loan ratio and lower BIS ratio. Fifth, savings banks with higher proportion of outside directors who have law work experience or majored in humanities have higher non-performing loan ratio and lower BIS ratio. These findings imply that the work experience or major of outside directors may affect their abilities of savings banks’ monitoring, management, and advice.

한국 주식시장에서 시장 베타와 수익률 간의 관계에 대한 실증 분석 (An Empirical Analysis on the Relationship between Market Beta and Return on the Korean Stock Market)
Hong, Seong Ju,Lim, Sangsu
Korean Abstract: 본 연구ëŠ" 한국 주식 시장에서 위험과 수익률 간의 관계를 분석하ëŠ" 것이 목적이다. 또한 본 연구ëŠ" 위험에 대한 측정 지í'œë¡œ CAPM에서 제안하고 있ëŠ" 시장 베타를 활용한다.베타를 ì¶"ì •í•œ 후 베타의 크기로 그룹í™"í•œ ê²°ê³¼ 한국 주식 시장에서 베타가 클수록 수익률이 하락하ëŠ" 현상이 발견되었다. 이를 좀 ë" 정밀하게 분석하기 위해 수익률을 시장초과수익률과 관련 ì—†ëŠ" 수익률과 시장초과수익률과 관련 있ëŠ" 수익률로 구분하여 분석했다. ê·¸ ê²°ê³¼ 시장초과수익률과 관련 ì—†ëŠ" 수익률의 경우, 낮은 베타를 ê°–ëŠ" 종목이 ë†'은 베타를 ê°–ëŠ" 종목보다 수익률이 ë†'은 현상이 발견되었다. 반대로 시장초과수익률과 관련 있ëŠ" 수익률의 경우, 낮은 베타를 ê°–ëŠ" 종목이 ë†'은 베타를 ê°–ëŠ" 종목보다 수익률이 낮았다.또한 수익률을 상승장과 하락장으로 구분하여 분석한 ê²°ê³¼, 시장초과수익률과 관련 ì—†ëŠ" 수익률의 경우에ëŠ" 하락장에서 베타가 증가할수록 수익률은 하락하ëŠ" 것으로 나타났다. 반면, 시장초과수익률과 관련 있ëŠ" 수익률은 상승장과 하락장에 관계없이 베타가 증가할수록 수익률은 상승하ëŠ" 것으로 나타났다. English Abstract: The purpose of this study is to analyze the relationship between risk and return in the Korean stock market. And it uses market beta proposed by the CAPM (Capital Asset Pricing Model) as measure of risk.After estimating the beta for the stocks and grouping the stocks by the size of the beta, we found that the larger the market beta in the Korean stock market, the lower the return. In order to analyze this more precisely, this study divides the returns into returns that is not related to market excess returns and those that are related to market excess returns. As a result, in the case of a return that is not related to market excess return, it is found that the stocks with a low market beta have a higher return than stocks with a high market beta. In contrast, in the case of returns related to market excess return, the returns on the stocks with low beta are lower than those on the stocks with high beta.In addition, as a result dividing return into a bull market and a bear market, in case of returns that is not related to market excess return, as the beta increased, return declined. On the other hand, return associated with the market excess return increases as the market beta increases in both rising and falling markets.