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EQS-News: Lenzing honours early stage researchers with the Young Scientist Award

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星期五, 五月 3, 2024

Textile, Congress, Dornbirn, GFC, Thought, EUR, Research, Student, Young Scientist Award, Recycling, Lenzing AG, Global Research

The application deadline is 30 June 2024 and the winning project will receive prize money of EUR 5,000.

Key Points:

The application deadline is 30 June 2024 and the winning project will receive prize money of EUR 5,000.
For the third time, the Lenzing Group is honouring young researchers with the Lenzing Young Scientist Award for excellent research work in the field of fibers and textiles.
“Lenzing has been an innovation leader in sustainably produced cellulose fibers for decades and is therefore at the forefront of change.
Applicants for the Young Scientist Award have the opportunity to submit their work (theses, papers, etc.)

Decomposing systemic risk: the roles of contagion and common exposures

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星期二, 四月 23, 2024

Tao, CIBC, Tax, RWA, Risk, European Systemic Risk Board, Research Papers in Economics, Contagion, RT, The Big Six, NBC, International, Shock, Observation, Bank of Canada, HTC, European Economic Association, The Washington Post, Great, JPMorgan Chase, Paper, GM, Environment, Political economy, Journal of Financial Economics, COVID-19, Perception, BNS, Website, Silicon, IAT, Cifuentes, Probability, Balance sheet, RAN, Medical classification, Algorithm, Information technology, Quarterly Journal of Economics, LN, Nature, European Journal, Royal Bank of Canada, Technical report, Journal of Political Economy, Equitable Bank, Bankruptcy, RAI, PDF, Private, ECB, Policy, CHS, Supercapacitor, Social science, Journal of Financial Stability, Intelligence (journal), Elsevier, Home, Cambridge University Press, Journal, Springer Science+Business Media, Research, Classification, Regulation, News, EQB, Credit, Literature, AIK, European Central Bank, COVID, SVAR, Section 5, Management science, DRA, M4, VL, National bank, Government, ISSN, BMO, Panel, International Financial Reporting Standards, BIS, FIS, Basel III, Commerce, Scotiabank, C32, Econometric Society, Interbank, Fraud, Section 4, Bank, Schedule, VAR, Section 3, The Journal of Finance, RBC, Volcanic explosivity index, Fire, Wassily Leontief, Financial economics, Metric, Section 2, L14, Central bank, Superintendent, Bank of Montreal, Kronecker, BOC, Lithium, BCBS, Sale, Macroeconomic Dynamics, Christophe, CWB, LBC, NHA, Imperial Bank, Private equity, Quarterly Journal, National Bank of Canada, C51, Canadian Western Bank, Currency crisis, JEL classification codes, Victor Drai, L.1, MFC, Silicon Valley Bank, EB, Laurentian Bank of Canada, Federal, RA1, Series, W0, FEVD, Journal of Econometrics, Aggregate, University, FRB, MB, Financial institution, Element, Health, Book, Angels & Airwaves, Common, OSFI, GFC, Reproduction, K L, Systematic, Housing, G21, Home Capital Group, Communications satellite

Abstract

Key Points:

Abstract
We evaluate the effects of contagion and common exposure on banks? capital through
a regression design inspired by the structural VAR literature and derived from the balance
sheet identity.
Contagion can occur through direct exposures, fire sales, and market-based
sentiment, while common exposures result from portfolio overlaps.
First, we document that contagion varies in time, with the highest levels
around the Great Financial Crisis and lowest levels during the pandemic.
Our new framework complements
traditional stress-tests focused on single institutions by providing a holistic view of systemic risk.
While existing literature presents various contagion narratives, empirical findings on
distress propagation - a precursor to defaults - remain scarce.
We decompose systemic risk into three elements: contagion, common exposures, and idiosyncratic risk, all derived from banks? balance sheet identities.
The contagion factor encompasses both sentiment- and contractual-based elements, common exposures consider systemic
aspects, while idiosyncratic risk encapsulates unique bank-specific risk sources.
Our empirical analysis of the Canadian banking system reveals the dynamic nature of contagion, with elevated levels observed during the Global Financial Crisis.
In conclusion, our model offers a comprehensive lens for policy intervention analysis and
scenario evaluations on contagion and systemic risk in banking.
This
notion of systemic risk implies two key components: first, systematic risks (e.g., risks related
to common exposures) and second, contagion (i.e., an initially idiosyncratic problem becoming
more widespread throughout the financial system) (see Caruana, 2010).
In this paper, we decompose systemic risk into three components: contagion, common exposures, and idiosyncratic risk.
First, we include contagion in three forms: sentiment-based contagion, contractual-based
contagion, and price-mediated contagion.
In this context,
portfolio overlaps create common exposures, implying that bigger overlaps make systematic
shocks more systemic.
With the COVID-19 pandemic starting
in 2020, contagion drops to all time lows, potentially related to strong fiscal and monetary
supports.
That is, our
structural model provides a framework for analyzing the impact of policy interventions and
scenarios on different levels of contagion and systemic risk in the banking system.
This provides a complementary approach to
seminal papers that took a structural approach to contagion, such as DebtRank Battiston et al.
More generally, the literature on networks and systemic risk started with Allen and Gale
(2001) and Eisenberg and Noe (2001).
The matrix is structured as follows:
1
In our model, we do not distinguish between interbank liabilities and other types of liabilities.
In other words, we can and aim to estimate different degrees
of contagion per asset class, i.e., potentially distinct parameters ?Ga .
For that, we build three major
metrics to check: average contagion, average common exposure, and average idiosyncratic risk.
N i j
et ,
Further, we define the (N ?K) common exposure matrix as Commt = [A

(20)

et ]diag (?C
?L

such that average common exposure reads,
average common exposure =

1 XX
Commik,t .
N i j
(22)

20

? c ),

The three metrics?average contagion, average common exposure, and average idiosyncratic risk?provide a comprehensive framework for understanding banking dynamics.
Figure 4 depicts the average level of risks per systemic risk channel: contagion risk, common exposure, and idiosyncratic risk.
Figure 4: Average levels of contagion (Equation (20)), common exposure (Equation (21)), and idiosyncratic risk
(Equation (22)).
The market-based contagion is the contagion due to
investors? sentiment, and the network is an estimate FEVD on volatility data.
For most of
the sample, we find that contagion had a bigger impact on the variance than common exposures.

Monetary asmmetries without (and with) price stickiness

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星期五, 四月 19, 2024

Online, University, Public Security Section 9, Employment, Calibration, Small, Equity, Volume Ten, Research Papers in Economics, Policy, A.4, Communication, Crisis, Mass, Silvana Tenreyro, Business, Shock, Intuition, Business cycle, TFP, Volume, European Economic Review, Marginal value, SME, NBER, Forecasting, Depression, 3rd millennium, European Economic Association, Conceptual model, Journal of Monetary Economics, Insurance, Harmonization, Great Depression, CES, Economic Inquiry, Paper, Environment, Political economy, Journal of Financial Economics, MIT, University of York, COVID-19, Behavior, Review of Economic Dynamics, Rigid transformation, Website, Access to finance, Accounting, Working paper, Probability, Total, Appendix, Section 8, Quarterly Journal of Economics, Zero lower bound, Curve, Chapter, Cost, Nominal, Journal of Political Economy, Euro, PDF, ECB, Unemployment, Hoarding, STAT, Economic Policy (journal), Household, Canadian International Council, Social science, Government, Federal Reserve Bank, JEL, Journal, Textbook, Missing, Food, Private sector, A.5, Asymmetric, The Journal of Finance, Credit, Speech, Princeton University Press, Literature, NK, European Central Bank, Growth, Labour, Monetary economics, Loss aversion, Financial intermediary, Injection, Elasticity, Inventory, Subprime lending, Ben Bernanke, Finance, BIS, Phillips curve, International Economic Review, Money, London School of Economics, Marginal product of labor, Pruning, Marginal product, The Economic Journal, Rate, Aswath Damodaran, Risk, OECD, Competition (economics), Section 4, MIT Press, Consumption, Bond, Section 3, Yield curve, Loanable funds, Habit, Cobb–Douglas production function, Economy, Aarhus University, Financial economics, Section 2, Conference, Central bank, Chapter Two, Monetary policy, Capital, Hartman–Grobman theorem, CEPR, Framework, American Economic Review, Capital Markets Union, ZLB, Exercise, Liquidity, Interest, Intensive word form, Workshop, European Commission, Macroeconomic Dynamics, Population growth, B1, Response, Quarterly Journal, Community business development corporation, GDP, E31, Control, Journal of Economic Theory, Christian Social Union (UK), T2M, Hamper, Data, American Economic Journal, Aggregate, Konstantinidis, B.1, A.9, A.6, Remuneration, Civil service commission, EUR, Uncertainty, Motivation, A.7, Bank, GFC, Section 13, Motion, Reproduction, IMF, Staggers Rail Act, Abstract, Tale, Handbook, Asymmetry, Stanford University, Communications satellite

Key Points:

Co-CEOs John Hecklinger and Hayley Roffey to lead Global Fund for Children into the future.

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星期一, 三月 25, 2024

Organization, Exercise, Seriousness, GFC, Imagination, Region, Courage, Management

WASHINGTON, DC and LONDON, March 25, 2024 (GLOBE NEWSWIRE) -- "I am beyond delighted and proud to welcome Hayley and John to be the first Co-CEOs of Global Fund for Children.

Key Points:

WASHINGTON, DC and LONDON, March 25, 2024 (GLOBE NEWSWIRE) -- "I am beyond delighted and proud to welcome Hayley and John to be the first Co-CEOs of Global Fund for Children.
This new structure readies the organization for a bolder, more outspoken future, centering young people as the decision-makers of where, how, and when funding and power are distributed.
I believe the willingness and courage to engage with this Co-CEO model extends directly from GFC's vision of partnering to achieve better outcomes for children and youth.
I'm confident the result will be new tools and a more flexible and adaptive working model that will benefit our partners and the children we serve.” Greg Wallig, Co-Chair of Global Fund for Children’s Global Board said.

Dr. Gary K. Michelson and Alya Michelson Receive 2024 Humanitarian Award at the World Brain Mapping Foundation’s 21st Annual Gathering for Cure Awards

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星期五, 三月 22, 2024

Inventor and philanthropist Dr. Gary K. Michelson and his wife Alya Michelson received the 2024 Humanitarian Award at the World Brain Mapping Foundation’s 21st Gathering for Cure (GFC) Awards Gala at the Biltmore Hotel in Los Angeles.

Key Points:

Inventor and philanthropist Dr. Gary K. Michelson and his wife Alya Michelson received the 2024 Humanitarian Award at the World Brain Mapping Foundation’s 21st Gathering for Cure (GFC) Awards Gala at the Biltmore Hotel in Los Angeles.
The Humanitarian Award is given to individuals who have contributed significantly to survival and quality of life of patients across the Globe.
Previous recipients of the annual award include Dr. Anthony Fauci, Dr. Sanjay Gupta, and Ming Hsieh.
The World Brain Mapping Foundation focuses on helping wounded soldiers, brain and spine cancers, neurodegenerative disorders (Parkinson’s, Alzheimer’s, ALS, MS, etc.

Garmin unveils complete avionics modernization program for Cessna Citation CJ2

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星期二, 三月 19, 2024

Aircraft, Automation, Temperature, Data, PFD, Altitude, Database, VNAV, SVT, EDM, Cell, Cessna Citation family, GWX, Wi-Fi, LTE, Lightning, GDL, Internet, Citation, STC, GFC, Aviation, Blog, GPS, GRMN, Marketing, Weather, MFD, EIS, TXI, Radar, Safety, VFR, FLC, Music, GSR, Aircraft pilot, Federal Aviation Administration, CJ2, GTN, Map, HSI, Government, Sirius XM, Satellite navigation device

OLATHE, Kan., March 19, 2024 /PRNewswire/ -- Garmin (NYSE: GRMN) today announced an upcoming Federal Aviation Administration (FAA) Supplemental Type Certification (STC) for the Cessna Citation CJ2, creating an all-Garmin integrated solution for the popular light jet. As a complete upgrade for the original flight deck, Garmin's industry-leading avionics solutions will fully replace the legacy systems, modernizing the airplane and reducing pilot workload by bringing new capabilities and safety-enhancing technologies. The all-Garmin retrofit will include TXi™ flight displays, GTN™ Xi navigators, GFC™ 600 digital autopilot and several more optional upgrades.

Key Points:

–Carl Wolf, Garmin Vice President of Aviation Sales and Marketing
Specifically tailored to the CJ2 airframe and operator, the all-Garmin avionics upgrade program transforms the current fragmented avionics architecture to an integrated cockpit experience.
PlaneSync automatically downloads avionics database updates2 and leverages high-speed integration amongst the avionics to quickly synchronize updates across the displays.
The full retrofit solution in the Cessna Citation CJ2 is expected to be available in Q2 of 2024 through Garmin Authorized Dealer network.
Garmin plans to certify a similar avionics upgrade program for the Cessna Citation CJ1.To learn more, visit Garmin.com/CJ2 .

World Brain Mapping Foundation (WBMF) announced its 2024 award recipients holding its 21st Gathering for Cure (GFC) Awards Gala at the Historic Millenium Biltmore hotel in LA.

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星期二, 三月 12, 2024

LOS ANGELES, March 11, 2024 /PRNewswire/ -- The World Brain Mapping Foundation (WBMF) announced its 2024 award recipients and will hold the 21st Gathering for Cure (GFC) Awards Gala on Friday March 15, 2024 at former home to the Oscars, Millennium Biltmore Hotel in Los Angeles.

Key Points:

LOS ANGELES, March 11, 2024 /PRNewswire/ -- The World Brain Mapping Foundation (WBMF) announced its 2024 award recipients and will hold the 21st Gathering for Cure (GFC) Awards Gala on Friday March 15, 2024 at former home to the Oscars, Millennium Biltmore Hotel in Los Angeles.
Joe Bolanos, Kevin Morris, George Perry, Dave Baron, and Ms. Ira Soebroto-Bullo (Golden Axon Leadership award) and Aysha Noor and Jemma Yoo (Student Service, Research and Leadership Award).
"Our award recipients are truly pioneers in their fields who have impacted millions of patients globally", said Dr. Babak Kateb, President of WBMF.
"GFC award is also aimed at raising funds for introducing new diagnostics and therapeutics for neurological disorders."

The impact of regulatory changes on rating behaviour

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星期二, 四月 2, 2024

Długosz, Disagreement, Pi bond, Direct lending, Key, Research Papers in Economics, Finance Secretary (India), University of Oxford, STS, Journal of Economic Perspectives, International, American Economic Review, Life, Columbia Business School, British Academy of Management, Risk assessment, ABS, Rating, EBA, Development, Reputational damage, OBS, CRA, Bond credit rating, Cras, Journal of Monetary Economics, CDO, Becker, Paper, 2007–2008 financial crisis, Raja, University, Environment, Journal of Financial Economics, Perception, H3, Website, Securitization, Working paper, Market, Collection, Total, European Banking Authority, Quarterly Journal of Economics, BBB, Whetten, Column, ESMA, European Journal, Issuer, Asset quality, Information revolution, Federal Reserve Bank, OLS, Statistics, PDF, Private, ECB, Surety, Weighted-average life, CCC, European Commission, Social science, Journal of Financial Stability, JEL, Real, Bias, Journal, Research, Classification, Certification, Commission, Credit, The Journal of Finance, Literature, Karel Škréta, European Central Bank, AA, Finance Research Letters, Origination (telephony), Monetary economics, Section 5, Xia, Kraft Foods, Government, AAA, Mukherjee, Finance, Deku, DOI, White, Risk, IOSCO, MBS, OECD, Wang, Section 4, University Challenge 2013–14, Section 3, Ashcraft, Financial management, Accounting, Financial economics, Fannie Mae, Conference, Pressure, Central bank, Griffin, University of Michigan, Systematic review, EPRS, Freddie Mac, Loan, BCBS, Palgrave Macmillan, R2, Microeconomics, Quarterly Journal, Financial statement analysis, The Japanese Economic Review, Christian Social Union (UK), Green, University of Huddersfield, PSM, Management, Security (finance), Security, Civil service commission, Private placement, American Economic Journal, GFC, Reproduction, IMF, Small business, Trustee, Data

Abstract

Key Points:

Abstract
We examine rating behaviour after the introduction of new regulations regarding Credit Rating
Agencies (CRAs) in the European securitisation market.
There is empirical evidence of rating catering in the securitisation market in the pre-GFC period (He et al.,
2012; Efing and Hau, 2015).
Competition among
CRAs could diminish ratings quality (Golan, Parlour, and Rajan, 2011) and promotes rating shopping by
issuers resulting in rating inflation (Bolton et al., 2012).
This paper investigates the impact of the post-GFC regulatory changes in the European
securitisation market.
In 2011, in addition to the creation of
European Securities and Markets Authority (ESMA), a regulatory and supervisory body for CRAs was
introduced.
We examine how rating behaviours have changed in the European securitisation market after the
introduction of these new regulations.
We utilise the existence of multiple ratings and rating agreements between
CRAs to identify the existence of rating shopping and rating catering, respectively (Griffin et al., 2013; He
et al., 2012; 2016).
We find that the regulatory changes have been effective in tackling conflicts of interest between issuers
and CRAs in the structured finance market.
Rating catering, which is a direct consequence of issuer and
CRA collusion, seems to have disappeared after the introduction of these regulations.
There is empirical evidence of rating catering in the securitisation market in
the pre-GFC period (He et al., 2012; Efing and Hau, 2015).
Competition among CRAs could diminish ratings quality (Golan, Parlour,
and Rajan, 2011) and promotes rating shopping by issuers resulting in rating inflation (Bolton et
al., 2012).
This paper investigates the impact of the post-GFC regulatory changes in the European
securitisation market.
In 2011, in addition
to the creation of European Securities and Markets Authority (ESMA), a regulatory and
supervisory body for CRAs was introduced.
We find that the regulatory changes have been effective in tackling conflicts of interest
between issuers and CRAs in the structured finance market.
Rating catering, which is a direct
consequence of issuer and CRA collusion, seems to have disappeared after the introduction of
these regulations.
Investors who previously demanded higher spreads for rating agreements for a
multiple rated tranche, did not consider the effect of rating harmony as a risk in the post-GFC
period.
Regarding rating shopping, we find that the effectiveness of the changes has been limited,
potentially for two reasons.
Additionally, we also find that rating over-reliance might still be an issue, especially
Rating catering is a broad term and it can involve rating shopping.
They re-examine the rating shopping and rating
catering phenomena in the US market by looking at the post-crisis period between 2009 and 2013.
Using 622 CDO tranches, they also observe the existence of rating shopping and the diminishing
of the rating catering.
Firstly, our main focus is the EU?s CRA Regulation and its effectiveness in reducing
rating inflation and rating over-reliance.
To the best of our knowledge, this paper is the first to
examine the effectiveness of the EU?s CRA regulatory changes on the investors? perception of
rating inflation in the European ABS market.
Hence, the coverage and quality of our dataset constitutes significant addition
to the literature and allows us to test the rating shopping and rating catering more authoritatively.
The following section reviews the literature
on securitisation concerning CRAs and conflicts of interest, and outlines the regulatory changes
introduced in the post-GFC period.
Firstly, ratings became ever more important as the Securities and
Exchange Commission (SEC) 5 began heavily relying on CRA assessments for regulatory purposes
(i.e.
the investment mandates that highlight rating agencies as the main benchmark for investment
eligibility) (SEC, 2008; Kisgen and Strahan, 2010; Bolton et al., 2012).
issuers) as one of the main explanations for the rating inflation (He et al., 2011; 2012; Bolton
et al., 2012; Efing and Hau, 2015).
Bolton et al., (2012) demonstrate that competition
promotes rating shopping by issuers, leading to rating inflation.
The last phase, CRA III, was implemented in mid-2013 and involves an additional
set of measures on reducing transparency and rating over-reliance.
As mentioned above, rating inflation can be caused by rating shopping
In order to be eligible to use the STS classification, main parties (i.e.
The higher the difference in the number of ratings for a
given ABS tranche, the greater the risk of rating shopping.
Alternatively, the impact of the new
regulations could be limited when it comes to reducing rating shopping.
This is because, firstly,
the conflict of interest between securitisation parties is not necessarily the sole cause for the
occurrence of rating shopping.
L is a set of variables (Multiple ratings, CRA reported, Rating agreement) that
we utilise interchangeably to capture the rating shopping and rating catering behaviour.
Hence, issuers are incentivised to report the highest possible rating and
ensure each additional rating matches the desired level.
All in all, our results suggest that
the new stricter regulatory measures have been effective in tackling conflicts of interest and
reducing rating inflation caused by rating catering.
Self-selection might be a concern in analysing the impact of the
new measures and investors? response with regard to the rating inflation.
This
result is in line with the earlier findings suggesting that regulatory changes have reduced investors?
suspicion of rating inflation and increased trust of CRAs.
Conclusion
Several regulatory changes were introduced in Europe following the GFC aimed at tackling
conflicts of interest between issuers and CRAs in the ABS market.
Utilising a sample of 12,469
ABS issued between 1998 and 2018 in the European market, this paper examined whether these
changes have had any impact on rating inflations caused by rating shopping and rating catering
phenomena.
We find that the
effectiveness of the changes has been more limited on rating shopping potentially for two reasons.
Tranche Credit Rating is the rating reported for a tranche at launch.

KBRA Assigns Preliminary Ratings to Chase Home Lending Mortgage Trust 2024-RPL1 (CHASE 2024-RPL1)

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星期三, 二月 21, 2024

Professional Services, Finance, Documentation, GFC, Chase Bank, National Association, Washington Mutual, JPMCB, KBRA, JPMorgan Chase, UPB, Telescopic sight

KBRA assigns preliminary ratings to nine classes of mortgage certificates from Chase Home Lending Mortgage Trust 2024-RPL1 (CHASE 2024-RPL1).

Key Points:

KBRA assigns preliminary ratings to nine classes of mortgage certificates from Chase Home Lending Mortgage Trust 2024-RPL1 (CHASE 2024-RPL1).
The pool comprises 2,475 seasoned, re-performing residential mortgages with an aggregate unpaid principal balance (UPB) of $555.4 million as of the cut-off date (January 31, 2024).
The cut-off date UPB includes $62.2 million (11.2%) in non-interest-bearing deferred principal.
The mortgage pool consists mostly of pre-GFC legacy origination from Washington Mutual Bank (67.5%) and JPMorgan Chase Bank, National Association (JPMCB; 32.3%), with 93.2% of the loans originated between 2004 and 2008.

Government of Canada research facility accredited to international standards for eDNA work for early detection of aquatic invasive species

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星期四, 二月 29, 2024

ISO, DFO, Invasive species, AIS, GFC, Culture, Animal, Biodiversity, Food, Environmental DNA, Habitat, International Organization for Standardization, Accreditation, Science, DNA, Environment, Aquaculture

The Government of Canada is committed to taking a science-based approach to prevent the introduction, establishment, and spread of aquatic invasive species.

Key Points:

The Government of Canada is committed to taking a science-based approach to prevent the introduction, establishment, and spread of aquatic invasive species.
On February 15, 2024, the Moncton-based laboratory became DFO's first International Standards Organization (ISO) 17025 accredited eDNA testing lab for aquatic invasive species.
It attests to DFO's contributions to protecting Canada's aquatic ecosystems through its early detection of aquatic invasive species using innovative tools.
Leveraging eDNA – the genetic material shed by organisms in their environment – is a transformative approach for aquatic invasive species detection.