Research articles for the 2020-11-03

A Q Theory of Internal Capital Markets
Dai, Min,Giroud, Xavier,Jiang, Wei,Wang, Neng
We propose a tractable model of dynamic investment, division sales (spinoffs), financing, and risk management for a multi-division firm that faces costly external finance. The model highlights the importance of considering the intertwined nature of the different policies. Our main results are as follows: (1) risk management considerations prescribe the allocation of resources based not only on the divisions' productivity -- as in standard models of ''winner picking'' -- but also their risk; (2) firms may choose to voluntarily spin off productive divisions to increase liquidity; (3) diversification can reduce firm value especially in low liquidity states, as it increases the cost of a spinoff and hampers liquidity management; (4) with corporate socialism, liquidity is less valuable since it is less costly to replenish the firm's liquidity through a spinoff; and (5) division-level investment is set such that the ratio between marginal q and the marginal cost of investing in each division equals the marginal value of cash.

A review of two decades of correlations, hierarchies, networks and clustering in financial markets
Gautier Marti,Frank Nielsen,Mikołaj Bińkowski,Philippe Donnat

We review the state of the art of clustering financial time series and the study of their correlations alongside other interaction networks. The aim of this review is to gather in one place the relevant material from different fields, e.g. machine learning, information geometry, econophysics, statistical physics, econometrics, behavioral finance. We hope it will help researchers to use more effectively this alternative modeling of the financial time series. Decision makers and quantitative researchers may also be able to leverage its insights. Finally, we also hope that this review will form the basis of an open toolbox to study correlations, hierarchies, networks and clustering in financial markets.

Adversarial Attacks on Machine Learning Systems for High-Frequency Trading
Micah Goldblum,Avi Schwarzschild,Ankit B. Patel,Tom Goldstein

Algorithmic trading systems are often completely automated, and deep learning is increasingly receiving attention in this domain. Nonetheless, little is known about the robustness properties of these models. We study valuation models for algorithmic trading from the perspective of adversarial machine learning. We introduce new attacks specific to this domain with size constraints that minimize attack costs. We further discuss how these attacks can be used as an analysis tool to study and evaluate the robustness properties of financial models. Finally, we investigate the feasibility of realistic adversarial attacks in which an adversarial trader fools automated trading systems into making inaccurate predictions.

An Empirical Behavioral Model of Households’ Deposit Dollarization
Khabibullin, Ramis,Ponomarenko, Alexey
We use the behavioral concept to endogenously model the evolution of the link between households’ deposit dollarization and exchange rate developments in Russia. We estimate the model empirically and show that the reaction of households to exchange rate appreciation weakens when exchange rate developments become more volatile. The proposed model outperforms the contemporary nonlinear time series models in forecasting the changes in dollarization during the Bank of Russia’s transition to a flexible exchange rate regime.

Analysis of Bitcoin Prices Using Market and Sentiment Variables
This paper proposes an empirical model for analyzing the dynamics of Bitcoin prices. To do this, we consider a vector error correction model over two overlapping periods: 2010-2017 and 2010-2019. Price discovery is achieved through the Gonzalo-Granger permanent-transitory decomposition. The pricing factors are endogenous linear combinations of the S&P 500 index, gold price, a Google search variable associated to Bitcoin, and a fear index proxied by the FED Financial Stress Index. Our empirical analysis shows that during the first period a linear combination of four pricing factors describes the efficient Bitcoin price. The S&P 500 index and Google searches have a positive effect whereas gold prices and the fear index have a negative effect. In contrast, during the second period, the efficient price behaves idiosyncratically and can be only rationalized by individuals’ search for information on the cryptocurrency. These findings provide empirical evidence on the presence of a correction in Bitcoin prices during the period 2018-2019 uncorrelated to market fundamentals. We also show that standard empirical asset pricing models perform poorly for explaining Bitcoin prices.

Certification or Cash Prize: The Heterogeneous Effect of Venture Competitions
de Rassenfosse, Gaétan,van den Heuvel, Matthias
Venture competitions usually reward winners with a cash prize and a certification of their startup’s quality. We model the impact of these rewards on startup performances. We then test the model’s predictions using original data on close to 1000 startups that have participated in the leading venture competition in Switzerland. We find that, while winning in the competition improves startups' performances on average, it does not affect all technology types equally. Science-based startups predominantly benefit from the certification's effect, which significantly improves their outcomes. By contrast, internet & software startups only benefit temporarily from having received a cash prize, with no long-term effect. We contend that this difference in effect is driven by the judges' greater ability to identify high-quality science-based startups as well as by startups' differing running costs. We also show that the competition's certification provides valuable information to both entrepreneurs and outside investors. This information accelerates the termination of low-quality startups and improves external funding opportunities for high-quality startups. Our results highlight sector-specific heterogeneity in startups early-stage support needs, which bears implications for the design of entrepreneurial programs.

Designing Central Bank Digital Currencies
Agur, Itai,Ari, Anil,Dell'Ariccia, Giovanni
We study the optimal design of a central bank digital currency (CBDC) in an environment where agents sort into cash, CBDC, and bank deposits according to their preferences over anonymity and security; and where network effects make the convenience of a payment instrument depend on the number of its users. A CBDC can be designed with attributes similar to cash or deposits, and can be interest bearing: a CBDC that closely competes with deposits depresses bank credit and output, while a cash-like CBDC may lead to the disappearance of cash. Then, the optimal CBDC design trades of bank intermediation against the social value of maintaining diverse payment instruments. When network effects matter, an interest-bearing CBDC alleviates the central bank's tradeoffs.

Does Banking Efficiency, Regulation, and Operations Affect Banking Performance in South Asia: Dynamic Correlated Model Approach
Syed, Aamir
This study intends to find out how the bank or industry-specific variables like banking regulation, banking efficiency, and banking operations affect non-performing loans in South Asia. To achieve this objective this study has employed robust 1st and 2nd generation Unit root tests, CIPS test, PMG and Dynamic Correlated Model approach on the panel data set of selected South Asian countries from 1995 to 2019, to avoid the implications of Cross-sectional dependency on the result analysis. The finding of the study shows that loose banking operations, lower exchange rate, and volatile interest rate have a significant positive relationship with non-performing loan whereas lower banking efficiency have a significant negative relationship with non-performing loans. The study also confirms the importance of cross-sectional dependencies in getting more accurate and robust results. This study will be useful for policy implementation and to understand the importance of micro banking variables in controlling non-performing loans, apart from contributing toward the literature of cross-sectional dependency.

Does Bid-Ask Spread Affect Trading in Exchange Operated Dark Pool? â€" Evidence From a Natural Experiment
Duong, Huu Nhan,Kalev, Petko S.,Tian, Xiao
We exploit the exogenously instituted minimum tick size change to examine the dynamic relationship between the bid-ask spread in the lit market and dark trading activity in the exchange operated dark pool in Japan. Using a difference â€" in â€" differences methodology, we document a significant treatment effect where stocks that are affected by the minimum tick size change have a lower share of trading in the exchange operated dark pool. Overall, our empirical findings provide first-hand evidence that a significant amount of dark trading is liquidity seeking. Reducing minimum tick size can help lit venues regain market shares over dark venues.

Does Stricter Disclosure Regulation of Private Meetings Improve the Information Environment?
Bowen, Robert M.,Dutta, Shantanu,Tang, Songlian,Zhu, Pengcheng
The Shenzhen Stock Exchange (SZSE) in China is unique worldwide in requiring disclosure of the existence and content of private meetings between firm managers and outside investors. We investigate whether the SZSE’s increased disclosure requirements in July 2012 led to tangible benefits for market participants. We use a difference-in-differences design (where possible) and a dataset that includes Shanghai Stock Exchange (SHSE) firms as a control group. Despite allegedly ‘improved’ disclosures, we find the SZSE’s information environment experienced increased stock price volatility and reduced information efficiency relative to pre-July 2012 and relative to SHSE firms. After July 2012, private meetings became quasi-public and disclosures became more positive and less informative. Mutual fund participation in private meetings increased â€" especially for funds with little or no ownership in the host firm. Increased participation by these less informed institutional investors is one explanation for observed higher stock volatility and lower information efficiency around these meetings.

Dynastic Control Without Ownership: Evidence from Post-War Japan
Bennedsen, Morten,Mehrotra, Vikas,Shim, Jungwook,Wiwattanakantang, Yupana
Dynastic-controlled firms are led by founding family CEOs while the family owns an insignificant share of equity (defined as less than five percent). They represent 7.4% of listed firms in post-war Japan, include well-known firms such as Casio, Suzuki and Toyota, and are often grouped with widely-held firms in the literature. These firms differ in key performance measures from both traditional family firms and non-family firms, and evolve from the former as equity-financed growth dilutes the founding family's ownership over time. In turn, the transition from dynastic control to non-family status is driven by a diminution of strategic family resources.

Economic Principles of PoPCoin, a Democratic Time-based Cryptocurrency
Haoqian Zhang,Cristina Basescu,Bryan Ford

While democracy is founded on the principle of equal opportunity to manage our lives and pursue our fortunes, the forms of money we have inherited from millenia of evolution has brought us to an unsustainable dead-end of exploding inequality. PoPCoin proposes to leverage the unique historical opportunities that digital cryptocurrencies present for a "clean-slate" redesign of money, in particular around long-term equitability and sustainability, rather than solely stability, as our primary goals. We develop and analyze a monetary policy for PoPCoin that embodies these equitability goals in two basic rules that maybe summarized as supporting equal opportunity in "space" and "time": the first by regularly distributing new money equally to all participants much like a basic income, the second by holding the aggregate value of these distributions to a constant and non-diminishing portion of total money supply through demurrage. Through preliminary economic analysis, we find that these rules in combination yield a unique form of money with numerous intriguing and promising properties, such as a quantifiable and provable upper bound on monetary inequality, a natural "early adopter's reward" that could incentivize rapid growth while tapering off as participation saturates, resistance to the risk of deflationary spirals, and migration incentives opposite those created by conventional basic incomes.

Exploring Differences in Household Debt Across the United States and Euro Area Countries
Christelis, Dimitris,Ehrmann, Michael,Georgarakos, Dimitris
Household debt in the United States has played a central role in the up-run and the aftermath of the global financial crisis. Despite this, our understanding of household debt and potential debt overhang is still limited. To shed light on this issue, we put U.S. household leverage in an international perspective, using household-level data for the United States and ten euro area economies. U.S. households have the highest prevalence of collateralized and non-collateralized debt, hold comparatively large amounts of loans, and face a higher debt-service burden, even though they have higher income and financial wealth. These differences are mainly related to the U.S. economic environment, which appears to be more conducive to both types of debt, primarily because a given level of collateral is associated with higher prevalence of collateralized debt, and larger amounts of it, in the United States.

Finance and Technology: What is Changing and What is Not
Cecchetti, Stephen G.,Schoenholtz, Kermit
Technology has long had a profound impact on financial services. Today, it is changing the range of services offered, as well as their delivery, cost, and accessibility. Yet, despite the explosion of small firms applying new technologies, very few of these new fintech companies have a broad influence on financial activity. Even in some sectors with significant entry, unit costs of financial intermediation remain stubbornly high. At the same time, there are notable fintech successes, especially in the provision of payments and credit in China. Going forward, the impact of fintech is likely to be greatest where existing suppliers lack competitive incentives or sophistication. Over the next decade, the decisions of regulators will have a profound influence on the array of financial services available, on how they are delivered and to whom. In the advanced economies, regulators generally support greater fintech competition, favoring lower costs and improved access. Furthermore, as Big Tech firms and large incumbent financial institutions vie for dominance, their large fintech investments will make them increasingly alike. Over time, it is anyone’s guess which of these firm types will win the race.

Fintech and Big Tech Credit: A New Database
Cornelli, Giulio,Frost, Jon,Gambacorta, Leonardo,Rau, P. Raghavendra,Wardrop, Robert,Ziegler, Tania
Fintech and big tech platforms have expanded their lending around the world. We estimate that the flow of these new forms of credit reached USD 223 billion and USD 572 billion in 2019, respectively. China, the United States and the United Kingdom are the largest markets for fintech credit. Big tech credit is growing fast in China, Japan, Korea, Southeast Asia and some countries in Africa and Latin America. Cross-country panel regressions show that such lending is more developed in countries with higher GDP per capita (at a declining rate), where banking sector mark-ups are higher and where banking regulation is less stringent. Fintech credit is larger where there are fewer bank branches per capita. We also find that fintech and big tech credit are more developed where the ease of doing business is greater, and investor protection disclosure and the efficiency of the judicial system are more advanced, the bank credit-to-deposit ratio is lower and where bond and equity markets are more developed. Overall, alternative credit seems to complement other forms of credit, rather than substitute for them.

Granular Credit Risk
Galaasen, Sigurd,Jamilov, Rustam,Juelsrud, Ragnar,Rey, Hélène
What is the impact of granular credit risk on banks and on the economy? We provide the first causal identification of single-name counterparty exposure risk in bank portfolios by applying a new empirical approach on an administrative matched bank-firm dataset from Norway. Exploiting the fat tail properties of the loan share distribution we use a Gabaix and Koijen (2020a,b) granular instrumental variable strategy to show that idiosyncratic borrower risk survives aggregation in banks portfolios. We also find that this granular credit risk spills over from affected banks to firms, decreases investment, and increases the probability of default of non-granular borrowers, thereby sizably affecting the macroeconomy.

Greetings from a Triparental Planet
Gizem Bacaksizlar,Stefani Crabtree,Joshua Garland,Natalie Grefenstette,Albert Kao,David Kinney,Artemy Kolchinsky,Tyler Marghetis,Michael Price,Maria Riolo,Hajime Shimao,Ashley Teufel,Tamara van der Does,Vicky Chuqiao Yang

In this work of speculative science, scientists from a distant star system explain the emergence and consequences of triparentalism, when three individuals are required for sexual reproduction, which is the standard form of mating on their home world. The report details the evolution of their reproductive system--that is, the conditions under which triparentalism and three self-avoiding mating types emerged as advantageous strategies for sexual reproduction. It also provides an overview of the biological consequences of triparental reproduction with three mating types, including the genetic mechanisms of triparental reproduction, asymmetries between the three mating types, and infection dynamics arising from their different mode of sexual reproduction. The report finishes by discussing how central aspects of their society, such as short-lasting unions among individuals and the rise of a monoculture, might have arisen as a result of their triparental system.

How Do Job Vacancy Rates Predict Firm Performance? A Web Crawling Massive Data Perspective
Lo, Huai-Chun,Koedijk, Kees,Gao, Xiang,Hsu, Yuan-Teng
Traditionally, the relationship between a firm’s performance and its business strategy is studied using structured data taken from proxy statements and financial reports. However, there have been increasing efforts to explore the linkages between corporate outcomes and unstructured information, such as text or image/audio/video files. Until recently, semi-structured data had been largely overlooked. Given that a substantial amount of such data can be extracted using web crawler techniques and then processed using big data solutions, the current study employed this procedure to investigate whether dynamic job vacancy postings by Taiwanese publicly listed companies are associated with subsequent stock returns and operating ratios. We report that new job openings foreshadow a firm’s operating performance, both indirectly, by boosting stock prices, and directly, by signaling positive developments. This finding remains robust to tests addressing endogeneity concerns and the adoption of alternative specifications. We thus shed light on the role of metadata in financial analysis.

How Inductive and Deductive Generalization Shape the Guilt by Association Phenomenon Among Firms: Theory and Evidence
Naumovska, Ivana,Zajac, Edward J.
This study advances and tests the notion that the phenomenon of guilt by association, whereby innocent organizations are penalized due to their similarity to offending organizations, is shaped by two distinct forms of generalization. We analyze how and why evaluators’ interpretative process following instances of corporate misconduct will likely include not only inductive generalization (rooted in similarity judgements and prototype-based categorization) but also deductive generalizing (rooted in evaluators’ theories and causal-based categorization). We highlight the role and relevance of this neglected distinction by extending guilt-by-association predictions to include two unique predictions based on deductive generalization. First, we posit a recipient effect: if an innocent organization falls under a negative stereotype that causally links the innocent firm with corporate misconduct, then that innocent firm will suffer a greater negative spillover effect, irrespective of its similarity to the offending firm. Second, we also posit a transmission effect: if the offending firm falls under the same negative stereotype, then the negative spillover effect to other similar firms will be lessened. We also analyze how media discourse can foster negative stereotypes, and thus amplify the two effects noted above. We find support for our hypotheses in an analysis of financial market reactions to corporate misconduct for all U.S. and international firms using reverse mergers (RMs) to gain publicly traded status in the U.S. We discuss the implications of our theoretical perspective and empirical findings for research on corporate misconduct, guilt by association, and stock market prejudice.

How Intra-Household Bargaining Power Affects Female Entrepreneurship?
Lin, Tse-Chun,Tai, Mingzhu
Women’s weak bargaining power against spouses can be a hurdle to their entrepreneurship opportunities. By utilizing the state- and time-varying divorce laws in the U.S., we find that female entrepreneurship increases significantly when the divorce laws give women stronger bargaining power. This effect mainly comes from an increase in survival rate by existing business owners. The results are more pronounced for the more entrepreneurial-type of occupations, and among women who ex ante face a less friendly social environment. Overall, our results provide the first evidence that intra-household bargaining power can be an important but unstudied factor for female entrepreneurship.

Income Risk, Ownership Dynamics, and Portfolio Decisions
Bonaparte, Yosef,Korniotis, George M.,Kumar, Alok
This study examines the stock market entry and exit decisions of U.S. households. We find that around 25% of households enter or exit from their non-retirement investment accounts biennially. Cross-sectional and time-series tests indicate that income risk affects equity ownership turnover. A portfolio choice model with an income process extracted from survey data shows that idiosyncratic income shocks are more important for dynamic equity ownership decisions than aggregate stock market risk. The model yields realistic estimates for the coefficient of relative risk aversion (= 3.09) and the discount factor (= 0.97).

Interconnected Deviations from Covered Interest Parity
Ahelegbey, Daniel Felix,Ibhagui, Oyakhilome Wallace
We investigate the dynamic interconnectedness among the major world cross-currency basis swap spreads during tranquil and turbulent times. We examine whether movements in the bases are merely anecdotal or provide evidence of contagion, the most central basis for spillover propagation, and implications for market participants. The result shows a high degree of interconnectedness among the bases in crisis periods with mark-to-market losses for existing exposures and large arbitrage opportunities for investors seeking new positions. We find evidence that spillovers in the bases propagate from the Euro, the Swiss franc, and the Danish krone to other bases.

KrigHedge: Gaussian Process Surrogates for Delta Hedging
Mike Ludkovski,Yuri Saporito

We investigate a machine learning approach to option Greeks approximation based on Gaussian process (GP) surrogates. The method takes in noisily observed option prices, fits a nonparametric input-output map and then analytically differentiates the latter to obtain the various price sensitivities. Our motivation is to compute Greeks in cases where direct computation is expensive, such as in local volatility models, or can only ever be done approximately. We provide a detailed analysis of numerous aspects of GP surrogates, including choice of kernel family, simulation design, choice of trend function and impact of noise.

We further discuss the application to Delta hedging, including a new Lemma that relates quality of the Delta approximation to discrete-time hedging loss. Results are illustrated with two extensive case studies that consider estimation of Delta, Theta and Gamma and benchmark approximation quality and uncertainty quantification using a variety of statistical metrics. Among our key take-aways are the recommendation to use Matern kernels, the benefit of including virtual training points to capture boundary conditions, and the significant loss of fidelity when training on stock-path-based datasets.

Last to Come and Last to Go? On the Complex Role of Gender and Ethnicity in the Reputational Penalties for Directors Linked to Corporate Fraud
Naumovska, Ivana,Wernicke, Georg,Zajac, Edward J.
Scholars have found consistent evidence that directors who served on boards of firms accused of misconduct face reputational penalties in the director labor market. While this is often interpreted in terms of an ex post settling-up process that penalizes directors for failing in their role as monitors of management, the fundamentally social basis of the director labor market suggests that the ex post settling-up process may also incorporate a resource-provisioning role for directors as conferrers of legitimacy. We analyze how growing socio-economic pressures that aim to redress the longstanding underrepresentation of female and ethnic minority directors may lessenâ€"for these sought-after directorsâ€"the penalties typically imposed by the labor market in the aftermath of corporate misconduct. Using a rich proprietary dataset on financial misconduct and directors’ demographic characteristics, we find strong support for our hypotheses regarding a possible “reputational immunity” effect. We also provide supplementary analyses demonstrating the specific mechanisms underlying our predictions, and establishing the robustness of the results to a variety of alternative explanations. We discuss the implications of our theoretical perspective and empirical findings for future research on corporate governance, corporate misconduct, and the duality of minority status as it relates to discriminatory outcomes in modern labor markets.

Life Cycles of Firm Disclosures
Chen, AJ,Hoberg, Gerard,Maksimovic, Vojislav
We propose that the product life cycle is important in understanding the firm's disclosure policy and test this hypothesis using a 4-dimensional text-based life cycle model. Mature-stage life cycle firms disclose more, consistent with an outward-focused investment strategy that lowers search costs for finding synergistic alliance partners. Early-stage life cycle firms are secretive, consistent with inward-focused organic investment and mitigating competitive threats. These results obtain across disclosure measures relating to intellectual property, redaction of contracts, and readability. A quasi-natural experiment based on waves of rapid depreciation of protected intellectual property, and analysis of pairwise co-search of peer filings on the SEC EDGAR website, reinforce this interpretation.

Machine Learning in Credit Risk: Measuring the Dilemma Between Prediction and Supervisory Cost
, Andrés Alonso,Carbo, Jose Manuel
New reports show that the fi nancial sector is increasingly adopting machine learning (ML) tools to manage credit risk. In this environment, supervisors face the challenge of allowing credit institutions to benefi t from technological progress and financial innovation, while at the same ensuring compatibility with regulatory requirements and that technological neutrality is observed. We propose a new framework for supervisors to measure the costs and benefi ts of evaluating ML models, aiming to shed more light on this technology’s alignment with the regulation. We follow three steps. First, we identify the benefi ts by reviewing the literature. We observe that ML delivers predictive gains of up to 20 % in default classifi cation compared with traditional statistical models. Second, we use the process for validating internal ratings-based (IRB) systems for regulatory capital to detect ML’s limitations in credit risk mangement. We identify up to 13 factors that might constitute a supervisory cost. Finally, we propose a methodology for evaluating these costs. For illustrative purposes, we compute the benefi ts by estimating the predictive gains of six ML models using a public database on credit default. We then calculate a supervisory cost function through a scorecard in which we assign weights to each factor for each ML model, based on how the model is used by the fi nancial institution and the supervisor’s risk tolerance. From a supervisory standpoint,having a structured methodology for assessing ML models could increase transparency and remove an obstacle to innovation in the financial industry.

Monetary Policy with a Central Bank Digital Currency: The Short and the Long Term
Böser, Florian,Gersbach, Hans
We examine how the introduction of an interest-bearing central bank digital currency (CBDC) impacts bank activities and monetary policy. Depositors can switch from bank deposits to CBDC as a safe medium of exchange at any time. As banks face digital runs, either because depositors have a preference for CBDC or fear bank insolvency, monetary policy can use collateral requirements (and default penalties) to initially increase bankers' monitoring incentives. This leads to higher aggregate productivity. However, the mass of households holding CBDC will increase over time, causing additional liquidity risk for banks. After a certain period, monetary policy with tight collateral requirements generating liquidity risk for banks and exposing bankers to default penalties would render banking non-viable and prompt the central bank to abandon such policies. Under these circumstances, bankers' monitoring incentives will revert to low levels. Accordingly, a CBDC can at best yield short-term welfare gains.

Mortgage Market Disruptions
Bracke, Philippe,Croxson, Karen,Fakhri, Daoud,Surico, Paolo,Valletti, Tommaso M.
Using the universe of residential mortgage contracts offered and originated in the United Kingdom, we document the major trends associated with the pandemic of 2020 and compare them to the financial crisis of 2007-09. Looking at initial impact, the mortgage market disruptions of 2020 were larger and more abrupt than in 2007-09; as of June 2020, the recovery had been much faster, although uncertainty remains over whether the momentum will persist. Products with loan-to-value above 90% or loan-to-income above 4 took the largest hit but their market shares had begun to rebound since May 2020. In contrast, the Great Recession was characterised by a more gradual but far more persistent decline in originations, especially among riskier borrowers, as the recovery did not start until 18 months after the onset of the financial crisis. The share of remortgagors that extract housing equity has declined significantly in the first months of the 2020 pandemic and the amount withdrawn has been typically smaller than in most of the previous years. By the end of 2020 Q2, roughly one in five mortgages were benefitting from payment deferrals while repossession orders had virtually disappeared following the temporary ban introduced by the Financial Conduct Authority in March 2020.

Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry
Igor Halperin

This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM) system. Borrowing ideas from supersymmetric quantum mechanics (SUSY QM), we use a parameterized ground state wave function (WF) of this QM system as a direct input to the model, which also fixes a non-linear Langevin potential. A stationary distribution of the original Langevin model is given by the square of this WF, and thus is also a direct input to the model. Using a two-component Gaussian mixture as a ground state WF with an asymmetric double well potential produces a tractable low-parametric model with interpretable parameters, referred to as the NES (Non-Equilibrium Skew) model. Supersymmetry (SUSY) is then used to find time-dependent solutions of the model in an analytically tractable way. The model produces time-varying variance, skewness and kurtosis of market returns, whose time variability can be linked to probabilities of crisis-like events. For option pricing out of equilibrium, the NES model offers a closed-form approximation by a mixture of three Black-Scholes prices, which can be calibrated to index options data and used to predict moments of future returns. The NES model is shown to be able to describe both regimes of a benign market and a market in a crisis or a severe distress.

Optimal Dynamic Futures Portfolios Under a Multiscale Central Tendency Ornstein-Uhlenbeck Model
Leung, Tim,Zhou, Yang
We study the problem of dynamically trading multiple futures whose underlying asset price follows a multiscale central tendency Ornstein-Uhlenbeck (MCTOU) model. Under this model, we derive the closed-form no-arbitrage prices for the futures contracts. Applying a utility maximization approach, we solve for the optimal trading strategies under different portfolio configurations by examining the associated system of Hamilton-Jacobi-Bellman (HJB) equations. The optimal strategies depend on not only the parameters of the underlying asset price process but also the risk premia embedded in the futures prices. Numerical examples are provided to illustrate the investor's optimal futures positions and optimal wealth over time.

Picking Efficient Portfolios from 3,171 US Common Stocks with New Quantum and Classical Solvers
Jeffrey Cohen,Clark Alexander

We analyze 3,171 US common stocks to create an efficient portfolio based on the Chicago Quantum Net Score (CQNS) and portfolio optimization. We begin with classical solvers and incorporate quantum annealing. We add a simulated bifurcator as a new classical solver and the new D-Wave Advantage(TM) quantum annealing computer as our new quantum solver.

Regulatory Measures to Dismantle Pyramidal Business Groups: Evidence from the United States, Japan, Korea and Israel
Hamdani, Assaf,Kosenko, Konstantin,Yafeh, Yishay
Large business enterprises, from the railroad barons of nineteenth century America to Amazon and Google today, are often perceived as important for economic performance and, at the same time, as potential abusers of their political and economic power. In this study, we compare the experiences of four countries that implemented policies to curb the influence of one type of large corporate entities â?? pyramidal business groups: The US in the 1930s; Japan during the American occupation (1945-1952); Korea following the Asian crisis (late 1990s); and Israel in the last decade (2010-2018). Novel regulatory measures, applied consistently in the US and Japan, where the extreme political circumstances were very favorable to economic reform, led to the demise of pyramidal business groups in these countries. Israel, where the reforms did not follow a severe crisis, also used specifically-designed regulatory tools over a decade-long period, resulting in a significant decline in the number and size of business groups. Korea, after experimenting with variety of regulatory measures, chose to rely primarily on corporate governance-focused reforms to curb the influence of the chaebol, but with limited effects; groups continue to dominate the Korean economy. Our findings point to the importance of specifically-designed regulatory tools, applied consistently over time, against the backdrop of a pro-reform political climate.

Rise of the Central Bank Digital Currencies: Drivers, Approaches and Technologies
Auer, Raphael,Cornelli, Giulio,Frost, Jon
Central bank digital currencies (CBDCs) are receiving more attention than ever before. Yet the motivations for issuance vary across countries, as do the policy approaches and technical designs. We investigate the economic and institutional drivers of CBDC development and take stock of design efforts. We set out a comprehensive database of technical approaches and policy stances on issuance, relying on central bank speeches and technical reports. Most projects are found in digitised economies with a high capacity for innovation. Work on retail CBDCs is more advanced where the informal economy is larger. We next take stock of the technical design options. More and more central banks are considering retail CBDC architectures in which the CBDC is a direct cash-like claim on the central bank, but where the private sector handles all customer-facing activity. We conclude with an in-depth description of three distinct CBDC approaches by the central banks of China, Sweden and Canada.

Rise of the Central Bank Digital Currencies: Drivers, Approaches and Technologies
Auer, Raphael,Cornelli, Giulio,Frost, Jon
Central bank digital currencies (CBDCs) are receiving more attention than ever before. Yet the motivations for issuance vary across countries, as do the policy approaches and technical designs. We investigate the economic and institutional drivers of CBDC development and take stock of design efforts. We set out a comprehensive database of technical approaches and policy stances on issuance, relying on central bank speeches and technical reports. Most projects are found in digitised economies with a high capacity for innovation. Work on retail CBDCs is more advanced where the informal economy is larger. We next take stock of the technical design options. More and more central banks are considering retail CBDC architectures in which the CBDC is a direct cash-like claim on the central bank, but where the private sector handles all customer-facing activity. We conclude with an in-depth description of three distinct CBDC approaches by the central banks of China, Sweden and Canada.

Stealed-bid Auctions: Detecting Bid Leakage via Semi-Supervised Learning
Dmitry I. Ivanov,Alexander S. Nesterov

Bid leakage is a corrupt scheme in a first-price sealed-bid auction in which the procurer leaks the opponents' bids to a favoured participant. The rational behaviour of such participant is to bid close to the deadline in order to receive all bids, which allows him to ensure his win at the best price possible. While such behaviour does leave detectable traces in the data, the absence of bid leakage labels makes supervised classification impossible. Instead, we reduce the problem of the bid leakage detection to a positive-unlabeled classification. The key idea is to regard the losing participants as fair and the winners as possibly corrupted. This allows us to estimate the prior probability of bid leakage in the sample, as well as the posterior probability of bid leakage for each specific auction.

We extract and analyze the data on 600,000 Russian procurement auctions between 2014 and 2018. We find that around 9% of the auctions are exposed to bid leakage, which results in an overall 1.5% price increase. The predicted probability of bid leakage is higher for auctions with a higher reserve price, with too low or too high number of participants, and if the winner has met the auctioneer in earlier auctions.

Stochastic derivative estimation for max-stable random fields
Erwan Koch,Christian Y. Robert

We consider expected performances based on max-stable random fields and we are interested in their derivatives with respect to the spatial dependence parameters of those fields. Max-stable fields, such as the Brown--Resnick and Smith fields, are very popular in spatial extremes. We focus on the two most popular unbiased stochastic derivative estimation approaches: the likelihood ratio method (LRM) and the infinitesimal perturbation analysis (IPA). LRM requires the multivariate density of the max-stable field to be explicit, and IPA necessitates the computation of the derivative with respect to the parameters for each simulated value. We propose convenient and tractable conditions ensuring the validity of LRM and IPA in the cases of the Brown--Resnick and Smith field, respectively. Obtaining such conditions is intricate owing to the very structure of max-stable fields. Then we focus on risk and dependence measures, which constitute one of the several frameworks where our theoretical results can be useful. We perform a simulation study which shows that both LRM and IPA perform well in various configurations, and provide a real case study that is valuable for the insurance industry.

Stock Market Spillovers Via the Global Production Network: Transmission of U.S. Monetary Policy
di Giovanni, Julian,Hale, Galina
We quantify the role of global production linkages in explaining spillovers of U.S. monetary policy shocks to stock returns of 54 sectors in 26 countries. We first present a conceptual framework based on a standard open-economy production network model that delivers a spillover pattern consistent with a spatial autoregression (SAR) process. We then use the SAR model to decompose the overall impact of U.S. monetary policy on stock returns into a direct and a network effect. We find that up to 80% of the total impact of U.S. monetary policy shocks on average country-sector stock returns are due to the network effect of global production linkages. We further show that U.S. monetary policy shocks have a direct impact predominantly on U.S. sectors and then propagate to the rest of the world through the global production network. Our results are robust to controlling for correlates of the global financial cycle, foreign monetary policy shocks, and to changes in variable definitions and empirical specifications.

Synthetic Data Generation for Economists
Allison Koenecke,Hal Varian

As more tech companies engage in rigorous economic analyses, we are confronted with a data problem: in-house papers cannot be replicated due to use of sensitive, proprietary, or private data. Readers are left to assume that the obscured true data (e.g., internal Google information) indeed produced the results given, or they must seek out comparable public-facing data (e.g., Google Trends) that yield similar results. One way to ameliorate this reproducibility issue is to have researchers release synthetic datasets based on their true data; this allows external parties to replicate an internal researcher's methodology. In this brief overview, we explore synthetic data generation at a high level for economic analyses.

The Future of Finance: Why Regulation Matters
Fenwick, Mark,Vermeulen, Erik P. M.
FinTech and financial inclusion have become widely discussed topics in recent years. How can we promote technology-driven entrepreneurship and support micro-businesses in the various fields of financial services? How can we encourage more diversity and inclusion in the world of finance? There are numerous examples of how a combination of smartphones, computer code, and global networks have empowered weaker parties, created more equality and helped solve some of the biggest challenges in the financial services sector. Emerging technologies, in fields such as blockchain and artificial intelligence, mean that such a trend has become a permanent feature of the landscape, disrupting incumbent service providers, regulators, and other policymakers.It seems clear, that the exponential growth of technology has created a divide between the digital world that we are now inhabiting, and the world as it is generally perceived by government. The result? Governments are, quickly, becoming less and less relevant to the development and deployment of digital technologies. Politicians and public officials are increasingly out of touch with the digital transformation and struggle to find an appropriate response to the evolution of technology and its economic, social, and cultural effects.This paper explores the various challenges of regulating technology-driven change in financial services. As technology “eats the world,” it creates a plethora of new opportunities, but it also creates tremendous challenges that require some form of government intervention. In a world where agility is essential, governments are sluggish and disconnected. This creates potential risks, most obviously for the consumers of financial services.In developing answers to these regulatory dilemmas, we argue that traditional approaches to regulating financial services are obsolete and that new thinking is required. State actors are at an enormous informational disadvantage and lack the capacities and resources to keep up with the fast-moving actors that dominate the sector. New and more innovative approaches need to be found. The paper describes several such approaches, including regulatory “co-creation”, policy experimentation, and technology-driven regulation (so-called RegTech). It is only by embracing these new approaches that a regulatory environment be developed that fosters the responsible and safe development and deployment of financial innovation.

The Global Factor Structure of Exchange Rates
Korsaye, Sofonias A.,Trojani, Fabio,Vedolin, Andrea
We provide a model-free framework to study the global factor structure of exchange rates. To this end, we propose a new methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sections of international assets, such as stocks, bonds, and currencies, in the presence of frictions. We theoretically establish a two-factor representation for the crosssection of international SDFs, consisting of one global and one local factor, which is independent of the currency denomination. We show that our two-factor specification prices a large crosssection of international asset returns, not just in- but also out-of-sample with R2s of up to 80%.

The Loan Fee Anomaly: A Short Seller's Best Ideas
Engelberg, Joseph,Evans, Richard B.,Leonard, Gregory,Reed, Adam V.,Ringgenberg, Matthew C.
We find that equity loan fees are the best predictor of cross-sectional returns. When compared to 102 other anomalies, the loan fee anomaly has the highest monthly long-short return (1.17%), has the highest monthly Sharpe Ratio (0.40), and unlike other anomalies, exhibits strong persistence throughout the sample. We show that 28% of the loan fee anomaly can be explained by its selective exposure to the best performing anomalies, while 72% is due to unique information possessed by short sellers. Our results show that short sellers' willingness to pay prices the cross-section of stocks and these "best ideas'' outperform other anomalies.

The Real Effects of Bank Supervision: Evidence from On-Site Bank Inspections
Passalacqua, Andrea,Angelini, Paolo,Lotti, Francesca,Soggia, Giovanni
We show that bank supervision reduces distortions in credit markets and generates positive spillovers for the real economy. Combining a novel administrative dataset of unexpected bank inspections with a quasi-random selection of inspected banks in Italy, we show that inspected banks are more likely to reclassify loans as non performing after an audit. This behavior suggests that banks are inclined to misreport loan losses and evergreen credit to underperforming firms unless audited. We find that this reclassification of loans leads to a temporary contraction in lending by audited banks. However, this effect is completely driven by a credit cut to underperforming firms, as the composition of new lending shifts toward more productive firms. As a result, these productive firms increase employment and invest more in fixed capital. We provide evidence of a mechanisms for our results: a change in bank governance. Finally, we find positive spillovers from inspections: entrepreneurship increases, underperforming firms are more likely to exit the market, and there is an overall increase in productivity in the local economy as a result. Taken together, our results show that bank supervision is an important complement to regulation in improving credit allocation.

The Reversal Interest Rate: A Critical Review
Repullo, Rafael
This paper reviews the analysis in Brunnermeier and Koby (2018), showing that lower monetary policy rates can only lead to lower bank lending if there is a binding capital constraint and the bank is a net investor in debt securities, a condition typically satisfied by high deposit banks. It next notes that BK's capital constraint features the future value of the bank's capital, not the current value as in standard regulation. Then, it sets up an alternative model with a standard capital requirement in which profitability matters because bank capital is endogenously provided by shareholders, showing that in this model there is no reversal rate.

The Role of Time-Varying Risk Premia in International Inter-Bank Markets
Karouzakis, Nikolaos
We study international inter-bank spreads within a no‐arbitrage dynamic term structure model and attempt to disentangle time‐varying risk premia in the inter-bank market for major currencies. Our results suggest that, at the peak of financial crisis, the inter-bank spread was clearly driven by liquidity risk. In the aftermath of the crisis, credit risk has become the dominant driver of the spread. This effect is stronger in the Euro and UK markets, due to the escalation of the European sovereign debt crisis, and weaker in the Japanese market which experienced remarkably low credit pressures. Furthermore, we assess the effectiveness of monetary policy actions and demonstrate that the establishment of the unconventional policy programmes led to the deterioration of liquidity risk in the inter-bank market, and the policy of major Central banks to substantially cut interest rates kept credit pressures at low levels. We also partition the spread into expectation hypothesis and time‐varying risk premium components and reject the hypothesis of constant risk premium. We find strong evidence of predictability inferred from the inter-bank spread model with time‐varying risk premia.

The role of Deposit Guarantee Schemes in preventing and managing banking crises: governance and least cost principle
Mecatti, Irene
The Deposit Guarantee Directive enlarges the role of DGSs in supporting and financing with alternative interventions, the early research of “market solutions” that may avoid the failure of a bank. Despite the broad mandate formally set out in the Directive, the feasibility of the failure prevention measures by a DGS could be somehow restricted according to the current legal framework. More specifically, constraints to the use of alternative interventions could derive both from State aid rules and the introduction of depositor preference coupled with the least cost criterion. Given the importance of the role of DGSs in preventing and minimizing the overall cost of a banking crisis, this paper aims at analysing the two issues above, in order firstly to suggest a governance model which allows a national DGS to intervene in a banking crisis without breaking State aid rules. Secondly, with refer to the least cost principle, the paper suggests the adoption of some criteria, extrapolated by the DGSD, which may allow DGSs to overcome to problems arising from the combination of the above principle with the super priority rule.

The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool
Ioannis P. Antoniades,Giuseppe Brandi,L. G. Magafas,T. Di Matteo

The dynamical evolution of multiscaling in financial time series is investigated using time-dependent Generalized Hurst Exponents (GHE), $H_q$, for various values of the parameter $q$. Using $H_q$, we introduce a new visual methodology to algorithmically detect critical changes in the scaling of the underlying complex time-series. The methodology involves the degree of multiscaling at a particular time instance, the multiscaling trend which is calculated by the Change-Point Analysis method, and a rigorous evaluation of the statistical significance of the results. Using this algorithm, we have identified particular patterns in the temporal co-evolution of the different $H_q$ time-series. These GHE patterns, distinguish in a statistically robust way, not only between time periods of uniscaling and multiscaling, but also among different types of multiscaling: symmetric multiscaling (M) and asymmetric multiscaling (A). We apply the visual methodology to time-series comprising of daily close prices of four stock market indices: two major ones (S\&P~500 and NIKKEI) and two peripheral ones (Athens Stock Exchange general Index and Bombay-SENSEX). Results show that multiscaling varies greatly with time: time periods of strong multiscaling behavior and time periods of uniscaling behavior are interchanged while transitions from uniscaling to multiscaling behavior occur before critical market events, such as stock market bubbles. Moreover, particular asymmetric multiscaling patterns appear during critical stock market eras and provide useful information about market conditions. In particular, they can be used as 'fingerprints' of a turbulent market period as well as provide warning signals for an upcoming stock market 'bubble'. The applied visual methodology also appears to distinguish between exogenous and endogenous stock market crises, based on the observed patterns before the actual events.

Ð"опустимость оговорок о прекращении договора в случае наступления несостоятельности (банкротных оговорок) (The Permissibility of Contract Termination Clauses in the Event of Insolvency (Bankruptcy Clauses))
Shaidullin, Ainur
Russian Abstract: Ð' рассматриваемом деле Ð'ерховного суда Ð"ермании в договор поставки энергии было включено отменительное условие о прекращении договора в случае введения процедур несостоятельности в отношении покупателя. Ð'ерховный суд Ð"ермании пришел к выводу, что подобные оговорки недействительны, поскольку они лишают арбитражного управляющего права выбора продолжать договорные отношения либо их прекратить. Ð' предисловии к переводу решения Ð'С Ð"ермании автор ставил задачу привлечь внимание российских юристов к институту отказа от сделок должника и обеспечению эффективного его действия посредством запрета (недействительности) банкротной оговорки. Запрет банкротной оговорки обусловлен двумя ключевыми аргументами. Ð'о-первых, возможность выбора арбитражного управляющего в пользу продолжения договорных отношений или их прекращения в деле о несостоятельности в случае действительности банкротной оговорки может быть подорвана. Ð'о-вторых, в связи с необходимостью развития реабилитационных (санационных) процедур запрет банкротных оговорок имеет важное значение для дальнейшего существования компании.Full text in Russian: Abstract: In the present case of the Supreme Court of Germany, an energy supply contract contained a resolutive clause on contract termination in the event of the initiation of insolvency proceedings against the buyer. The Supreme Court of Germany concluded that such clauses are invalid, as they deprive the insolvency receiver of the right to choose whether to continue or terminate the contractual relationship. In the foreword to the translation of the judgment of the Supreme Court of Germany, the author set the objective of drawing the attention of Russian lawyers to the institution of terminating the debtor’s transactions and to its effective application through the prohibition (invalidity) of the bankruptcy clause. The prohibition of the bankruptcy clause is based on two key arguments. First, the possibility for the insolvency receiver to decide in favor of continuing or terminating the contractual relationship in an insolvency case may be undermined if the bankruptcy clause is valid. Second, due to the need to develop rehabilitation procedures, the prohibition of bankruptcy clauses is important for the continued existence of the company.

Модель понижения в очередности (субординации) займов участников юридических лиц в России:в поисках оптимального регулирования (A Model for Reducing the Priority (Subordination) of Loans of Participants in Legal Entities in Russia: Seeking Optimal Regulation)
Shaidullin, Ainur
Russian abstract: Автор рассматривает основные модели понижения в очередности займов участников юридического лица и приходит к выводу, что оптимальным является автоматическое понижение в очередности всех займов участников юридического лица вне зависимости от дополнительных критериев. Ð'месте с тем следует предусмотреть определенные исключения, как минимум в виде законодательно определенного порога миноритарности и привилегии санирования. Кроме того, автор объясняет, что главным аргументом в пользу субординации (понижения в очередности) является то, что лицо, совмещающее корпоративный контроль и возможности извлечения из бизнеса неограниченной прибыли, не может конкурировать наравне с кредиторами, не имеющими таких возможностей.English abstract: The author considers the main models for reducing the priority of the loans of participants in legal entities and arrives at the conclusion that the optimal solution is to automatically reduce the priority of all loans of the participants of a legal entity, regardless of additional criteria. However, certain exceptions should be provided for, at least in the form of a statutory threshold of minority and a sanation privilege. Moreover, the author explains that the main arguments in support of subordination (the reduction of priority) is the fact that an entity combining corporate control and opportunities to gain unlimited profit from its business cannot compete with creditors that do not have such opportunities on equal terms.

Основные политико-правовые аргументы pro и contra идеи субординации займов участников юридических лиц (Main Political and Legal pro and contra Arguments of the Idea of Loan Subordination for Members of Legal Entities)
Shaidullin, Ainur
Russian Abstract: Ð' статье рассматриваются ключевые доводы, которые обсуждаются в российском и зарубежном научном дискурсе применительно к вопросу о необходимости понижения в очередности (субординации) займов участников юридических лиц. Ð"лавными аргументами в пользу субординации являются злоупотребление принципом ограниченной ответственности, стимулирование более раннего открытия процедуры, недопустимость переноса финансовых рисков, создание ложной видимости платежеспособности и др. Основное возражение против состоит в том, что понижение в очередности дестимулирует попытки санации общества вне формальной процедуры несостоятельности (банкротства). Автор приходит к выводу, что изложенные аргументы наряду с зарубежным опытом должны приниматься во внимание при разработке оптимального регулирования в России.English Abstract: The author considers the key arguments that are discussed in the Russian and foreign scientific discourse in relation to the need to reduce the priority (subordination) of loans for members of legal entities. The main arguments in favor of subordination are the abuse of the limited liability principle, stimulation of an earlier opening of the procedure, inadmissibility of the transfer of financial risks, and the creation of false solvency, etc. The main objection is that the reduction in priority discourages the attempts to reorganize the company outside the formal insolvency (bankruptcy) procedure. The author reaches the conclusion that the presented arguments along with foreign experience should be taken into account in the development of an optimal regulation in Russia.Full text in Russian:

Понижение в очередности (субординация) займов участников юридических лиц в Ð"ермании и Австрии (Decrease in Priority (Subordination) of the Loans of Shareholders in Germany and Austria)
Shaidullin, Ainur
Russian Abstract: Ð' статье рассматривается законодательное регулирование и судебная практика Ð"ермании и Австрии, касающиеся особого правового регулирования займов участников юридических лиц при банкротстве. Автор прослеживает основные исторические этапы развития законодательства и судебной практики в отмеченных правопорядках, а также современное регулирование отдельных сложных вопросов. На основе зарубежного опыта автор обращает внимание на некоторые неоднозначные и не решенные в российском правопорядке вопросы, а именно: в каких случаях займы участников юридических лиц следует понижать в очередности (субординировать), каким образом следует толковать понятие «кризис общества», каков правовой режим обеспечений участников юридических лиц при банкротстве, в каком порядке должен удовлетворяться цессионарий, приобретший право требования к должнику у участника юридического лица, в каких случаях следует оспаривать платежи в предбанкротный период, каковы возможные исключения из режима субординации займов участников юридических лиц и проч. Автор приходит к выводу, что решения, выработанные в Ð"ермании и Австрии по этим и другим вопросам, могут быть полезны при разработке оптимальной модели регулирования в России.Full text in Russian: Abstract: The article discusses the legislative regulation and judicial practice of Germany and Austria concerning the special legal regulation of loans of participants in legal entities in bankruptcy. The author traces the main historical stages of development of legislation and judicial practice in the mentioned systems of justice, as well as the modern regulation of certain complex issues. On the basis of foreign experience, the author draws attention to some ambiguous and unresolved issues in the Russian justice system, namely: in what cases should the loans of legal entities’ participants be decreased in priority (subordinated); how should the concept of a «society crisis» be interpreted; what is the legal regime for provisions for legal entities’ participants in bankruptcy; in what order should the claims of assignees who have acquired the right of claim on the debtor from the legal entity’s participants be settled; in what cases it is necessary to dispute payments in the pre-bankruptcy period; what are the possible exceptions to the regime of subordination of loans of participants in legal entities, and so on. The author concludes that decisions developed in Germany and Austria on these and other issues can be useful in developing an optimal regulatory model in Russia.

Судьба обеспечительных сделок связанных с должником лиц при банкротстве (The Fate of Security Transactions of Persons Related to a Debtor in Bankruptcy)
Shaidullin, Ainur
Russian Abstract: Ð' комментируемом определении автор предлагает для выяснения оснований для понижения в очередности (субординации) требований, возникших на основании обеспечительной сделки (в частности, поручительства) при банкротстве, различать две ситуации: 1) поручитель, связанный (аф- филированный) с заемщиком (в рамках отношений покрытия), оплачивает основной долг и предъявляет требование к заемщику в деле о банкротстве в порядке суброгации; 2) кредитор по основному обязательству (заем или кредит) связан (аффилирован) с поручителем и предъявляет к нему требование в деле о банкротстве. Ð' первом случае требования связанного (аффилированного) лица в рамках отношений покрытия должны понижаться в очередности в банкротстве по тем же основаниям, что и займы участников (контролирующих лиц). Ð'о втором примере обеспечительная сделка может быть оспорена по правилам п. 2 ст. 61.2 Закона о банкротстве как сделка в ущерб кредиторам.Full text in Russian: Abstract: In the decision under comment, the author suggests distinguishing two situations in order to clarify the grounds for lowering the priority (subordination) of claims arising on the basis of a security transaction (in particular, guaranty) in bankruptcy: 1) a guarantor related to (affiliated with) the borrower (within the framework of coverage relations) pays the principal debt and makes a claim to the borrower in the bankruptcy case by way of subrogation; 2) the creditor under the principal liability (loan or credit) is related to (affiliated with) the guarantor and makes a claim to the guarantor in the bankruptcy case. In the first case, the claims of the related (affiliated) person within the framework of coverage relations should be reduced in priority in bankruptcy on the same grounds as the loans of participants (controlling persons). In the second example, the security transaction may be contested under the rules of paragraph 2 of Article 61.2 of the Law on Bankruptcy as a transaction to the detriment of creditors.