This paper measures the welfare cost of bank capital requirements and finds that it is surprisingly large. I present a simple framework which embeds the role of liquidity creating banks in an otherwise standard general equilibrium growth model. A capital requirement plays a role, as it limits the moral hazard on the part of banks that arises due to the presence of a deposit insurance scheme. Ho...

Following the Banking Committee on Banking Supervision, operational risk quantification is based on the Basel matrix which enables sorting incidents. In this paper we analyze these incidents in depth and propose strategies for carrying out the supervisory guidelines proposed by the regulators. The objectives are as follows: • On the first hand, banks need to provide a univariate capital charge ...

This study examines the corporate investment behavior during China’s reform era. We apply the Generalized Method of Moments (GMM) estimation to the investment Euler equation models that characterize the Chinese firms’ investment decisions. Based on the estimated structural parameters, we derive the effective discount rate (“implied” cost of capital) perceived by the firm managers to decide inve...

Modeling the dependence among multiple loss triangles has important implications for the determination of loss reserves, a critical element of risk management and capital allocation practices of property-casualty insurers. In this article, we propose a copula regression model for dependent lines of business that can be used to predict unpaid losses and hence determine loss reserves. The propose...

background exposure to the excessive levels of occupational noise is one of the principal harmful agents affecting the workers’ health. this study aimed to investigate the relationship between the occupational noise exposure and the hearing loss caused by working in small-scale service industries in the city of damavand, close to the metropolitan capital city of tehran, iran. methods this descr...

 The foreign exchange market (FX market) accounts for 40% of the total volume of the world’s e-commerce by its own. Based on statistics, sometimes up to 90 per cent of the traders lose their total capital in this market just within six months to one year and leave this market. The probability of loss in the FX market can be estimated by probability theory. The present paper intends to demonst...

In a new scheme for hedge fund managerial compensation known as the first-loss scheme, a fund manager uses her investment in the fund to cover any fund losses first; by contrast, in the traditional scheme currently used in most U.S. funds, the manager does not cover investors’ losses in the fund. We propose a framework based on cumulative prospect theory to compute and compare the trading strat...

Economically, art has been viewed as a resource, a commodity, a process, a secondary good, a technology, and as capital. The role of art as a producer of and storage for cultural capital has historically been the most important for society as a whole. Today, however, the general stock of cultural capital is declining. Other trends in the current information economy include a greater appreciatio...

High dimensional sparse modelling via regularization provides a powerful tool for analysing large-scale data sets and obtaining meaningful interpretable models.The use of nonconvex penalty functions shows advantage in selecting important features in high dimensions, but the global optimality of such methods still demands more understanding.We consider sparse regression with a hard thresholding ...

It is widely believed that an important factor underlying the rapid growth in China is increased foreign direct investment (FDI) and the transfer of foreign technology capital, which is accumulated know-how from investment in research and development (R&D), brands, and organizations that is not specific to a plant. In this paper, we study two channels through which FDI can contribute to upgradi...