...Working Paper Pengawasan Terhadap Lembaga Keuangan Berdampak Sistemik Working Paper: Pengawasan Terhadap Lembaga Keuangan Berdampak Sistemik (Systemically Important Financial Institution) Draft 1November2010 Rofikoh Rokhim*, Arief Wibisono Lubis**, IA Agung Faradynawati*** Makalah ini di presentasikan dalam seminar tentang Macroprudential yang diselenggarakan Bank Indonesia di Bandung, Jawa Barat, pada 1011 November 2010. * Rofikoh Rokhim adalah Staf Pengajar Fakultas Ekonomi Universitas Indonesia, Ketua Management Research Center FEUI, dan Head of Business Indonesia Intellegence Unit **Arief Wibisono Lubis adalah Staf Pengajar Fakultas Ekonomi Universitas Indonesia *** IA Agung Faradynawati adalah Staf Pengajar Fakultas Ekonomi Universitas Indonesia Korespodensi : Management Research Center, Gedung Departemen Manajemen Lantai 2 Fakultas Ekonomi Universitas Indonesia Depok 16424. Telepon: (021) 7272425 ext.503. Fax (021) 7863556. Email : rofikoh.rokhim@ui.ac.id Halaman 1 Working Paper Pengawasan Terhadap Lembaga Keuangan Berdampak Sistemik 1. Pendahuluan: Pengertian lembaga keuangan berdampak sistemik (Systemically Important Financial Institution) Pada akhir tahun 2009 perdebatan panjang muncul ketika Bank Century yang saat itu diputuskan oleh Komite Stabilitas Sistem Keuangan (KSSK) mendapat bailout karena dianggap sebagai bank gagal yang bersifat sistemik meskipun jika dilihat secara ukuran sangat kecil terhadap keseluruhan industri keuangan. Semenjak itu semakin banyak...
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...Fire Sales: An Overview “The term “fire sale” has been around since the nineteenth century to describe firms selling smoke-damaged goods at cut rate prices in the aftermath of a fire” (Shleifer 2011). In the fields of economics and finance, “fire sale” has been adopted to describe the distressed sales of assets at prices well below their true value. This deviation of asset price is a key amplifier during financial crisis and often acts as a contagion, spreading illiquidity problems to firms in similar industries (Caballero 2009). In the 2008 crisis, large losses for a bank would force this bank to sell assets at distressed prices. This process would force other banks to re-value the same assets at a lower price and would cause them to sell these assets and prices below fundamental value, incurring losses (French 2010). “Compared to non-bank, bank failure contagion [as a result of distressed sales] appears faster; is more likely to spread to a larger proportion of the industry; is likely to lead to a larger percentage of failures, and is more likely to spill over to other sectors”(Kaufman 1994). Fire sales typically occur in a single firm and then the decreased liquidity cascades to other firms in the same industry. In the case of financial institutions, fire sales often spread to other sectors of the economy as well. Fire sales can be thought of as positive feedback loops; financial distress forces firms to sell assets, which causes the prices of these assets to depreciate...
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...Original Article How to ‘mark-to-market’ when there is no market Received (in revised form): 12th December 2010 Samuel Francis is an attorney and certified public accountant experienced in corporate, litigation, audit and tax matters focusing his practice on financial services and investment management. He holds a BS in accounting from the City University of New York, Brooklyn College and a JD from Fordham University School of Law. He is the author of the 2009 award-winning article ‘Meet Two-Face: The Dualistic Rule 10b-5 and the Quandary of Offsetting Losses by Gains’. Fordham Law Review 77(6): 3045–3094. Correspondence: Samuel Francis, 321 Roselle Avenue, Cedarhurst, NY 11516, USA E-mail: samfrancis@optonline.net ABSTRACT At the center of the global financial crisis of 2007–2008 was the collapse of American International Group, brought on by extensive unhedged positions in derivatives, such as credit default swaps, and possibly exacerbated by mark-to-market accounting rules. Even though these rules generally produce the most realistic valuations of derivatives, a heated debate broke out over their application in a dislocated market. The foremost concern was that forcing financial institutions to mark down assets to their current market prices actually causes further declines. Regulators largely dismissed such concerns, but acknowledged that the existing standards could use additional clarification and modification. Many scholarly studies have since concurred that...
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...Research Proposal: Finance; (Financial Engineering, Financial Mathematics & Risk Management) By:Syed Asad Raza Naqvi Index Introduction and Background………………………………………………………………………….3 Interested areas for research and further study (Research Proposal)……………….3 Further explanation of the intended research topics………………………………………..4 Securitization…………………………………………………………………………………………………..4 Credit Derivatives…………………………………………………………………………………………….6 Hybrid Products……………………………………………………………………………………………….7 Re-Securitization……………………………………………………………………………………………..8 Contribution of these products towards Financial Crisis…………………………………..8 Improper Risk Management role in Financial Crisis………………………………………….9 Risks………………………………………………………………………………………………………………..10 Market Risk……………………………………………………………………………………………………..11 Credit Risk……………………………………………………………………………………………………….11 Liquidity Risk……………………………………………………………………………………………………11 Interest Rates and the Financial Crisis………………………………………………………………12 Relation between low interest rate and financial crisis…………………………………….12 Role of Rating Agencies……………………………………………………………………………………14 Structure Finance Products and Rating Agencies……………………………………………..14 Regulations Then and Now………………………………………………………………………………15 BASEL II……………………………………………………………………………………………………………16 Enhancements of Basel II…………………………………………………………………………………18 The Resecuritisation Exposure Using IRB Approach………………………………………….18 The Resecuritisation Exposure Using Standardized Approach…………………………...
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...Τόμος ΙV, Τεύχος 8, ∆εκέμβριος 2009 ∆ιεύθυνση Οικονομικών Μελετών & Προβλέψεων Η κρίση του 2007-2009: τα αίτια, η αντιμετώπιση και οι προοπτικές Πρόλογος Τρύφων Κολλίντζας Καθηγητής Οικονομικού Πανεπιστημίου Αθηνών & Πρόεδρος & ∆ιευθύνων Σύμβουλος Attica Bank Μιχάλης Ψαλιδόπουλος Καθηγητής Πανεπιστημίου Αθηνών Νικόλαος Καραμούζης Καθηγητής Πανεπιστημίου Πειραιώς & Αναπληρωτής ∆ιευθύνων Σύμβουλος Eurobank EFG Γκίκας Χαρδούβελης Καθηγητής Πανεπιστημίου Πειραιώς, Chief Economist & Director of Research ghardouvelis@eurobank.gr Research@eurobank.gr Η διεθνής αλλά και η ελληνική οικονομία βρίσκονται σήμερα αντιμέτωπες με τη μεγαλύτερη ύφεση μετά το τέλος του Β’ Παγκοσμίου Πολέμου. Η χρηματοοικονομική κρίση, που ξεκίνησε στην αγορά στεγαστικών δανείων χαμηλής εξασφάλισης (subprime mortgages) των ΗΠΑ το καλοκαίρι του 2007 μετατράπηκε ραγδαία σε κρίση του παγκόσμιου χρηματοπιστωτικού συστήματος και μεταφέρθηκε στην πραγματική οικονομία με ταχύ ρυθμό. Μια σειρά από γεγονότα, που μέχρι πριν από τρία χρόνια φάνταζαν απίθανο να συμβούν, οδήγησαν τους παγκόσμιους ρυθμούς ανάπτυξης σε απότομη πτώση και εκτόξευσαν την ανεργία και την ανασφάλεια στο σύνολο σχεδόν των χωρών. Καθώς η κρίση εκτυλίσσονταν, η ένταση και η έκτασή της αύξαναν συνεχώς, αναγκάζοντας κυβερνήσεις, κεντρικές τράπεζες, αναλυτές, επενδυτές, επιχειρηματίες και καταναλωτές να αναθεωρούν συνεχώς τις αντιλήψεις τους και τις προσδοκίες τους. Στην προσπάθεια άμεσης αντιμετώπισης...
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