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Articles 1 - 4 of 4
Full-Text Articles in Finance and Financial Management
Investigating The Relationship Between Monetary Policy, Macro-Prudential Policy And Credit Risk In Indonesia Banking Industry, Cep J. Anwar, Indra Suhendra, Eka Purwanda, Agus Salim, Nur A. Rakhmawati, Ferry Jie
Investigating The Relationship Between Monetary Policy, Macro-Prudential Policy And Credit Risk In Indonesia Banking Industry, Cep J. Anwar, Indra Suhendra, Eka Purwanda, Agus Salim, Nur A. Rakhmawati, Ferry Jie
Research outputs 2022 to 2026
Using a novel panel data set we study the influence of monetary and macro-prudential policies on non-performing loans as a measure of credit risk in Indonesian banking industry from Q1 2010 to Q4 2022. The panel homogeneity assumption was verified through the utilization of the Chow and Roy-Zellner tests. The findings showed that the model was not homogenous, necessitating the use of the Pooled Mean Group (PMG) estimator. The results indicated that monetary and macro-prudential policies significantly impacted credit risk. Furthermore, tight monetary and macro-prudential policies increased and reduced credit risk in the long run, respectively. The findings also showed …
A Dynamic Credit Ratings Model, David E. Allen, Robert Powell, Abhay Singh
A Dynamic Credit Ratings Model, David E. Allen, Robert Powell, Abhay Singh
Research outputs 2013
The Global Financial Crisis (GFC) provided overwhelming evidence of the problems caused by inadequate credit ratings. Losses and problem loans experienced by banks over this period were staggering. Yet many of the securitized sub-prime parcels which were widely seen as an underlying cause of the GFC, as well as corporate obligors who experienced severe difficulties during the GFC, retained extremely strong external credit ratings. They may have had low perceived risk at the time of rating, but as circumstances changed, the ratings stayed static and became far removed from the underlying risk. A key problem is that the external credit …
Measuring Real Capital Adequacy In Extreme Economic Conditions: An Examination Of Swiss Banking Sector, David E. Allen, Robert Powell
Measuring Real Capital Adequacy In Extreme Economic Conditions: An Examination Of Swiss Banking Sector, David E. Allen, Robert Powell
Research outputs 2011
The global financial crisis (GFC) has placed the creditworthiness of banks under intense scrutiny. In particular, capital adequacy has been called into question. Current capital requirements make no allowance for capital erosion caused by movements in the market value of assets. This paper examines default probabilities of Swiss banks under extreme conditions using structural modeling techniques. Conditional Value at Risk (CVaR) and Conditional Probability of Default (CPD) techniques are used to measure capital erosion. Significant increase in Probability of Default (PD) is found during the GFC period. The market asset value based approach indicates a much higher PD than external …
Are Credit Ratings A Good Measure Of Capital Adequacy?, David Allen, Akhmad Kramadibrata, Robert Powell, Abhay Singh
Are Credit Ratings A Good Measure Of Capital Adequacy?, David Allen, Akhmad Kramadibrata, Robert Powell, Abhay Singh
Research outputs 2011
Focus on capital adequacy intensified since the onset of the Global Financ ial Crisis (GFC), with many US and other global banks experiencing capital shortages over this time. The Basel standardised approach uses credit ratings as a determinant for corporate capital adequacy requirements. A problem with credit ratings is that they were designed to be a measure of relative, as opposed to absolute credit risk, and do not ratchet up or down with changes in economic circumstances. This paper examines how credit risk as indicated by credit ratings (and thei r associated capital requirement) changed pre and post Global Financial …