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Back Matter

Back Matter

Author(s):
Stefan Gerlach, and Paul Gruenwald
Published Date:
July 2006
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Index

NB page numbers in bold refer to figures and tables

  • accelerator, financial 68-9

  • accounting and disclosure 140,145-8

  • Acharya, V. V. 14

  • actual capital and lending 10,23-6

  • advanced economies 55

    • equations for 90-1

  • aggregate real activity 10

  • Akaike information criterion 105

  • Alfon, I. 22-4

  • Allen, L. 13-14

  • Altman, E. I. 13-14

  • Amato, J. D. 12, 72

  • ARIMA (Auto Regressive Integrated Moving Average) model 109

  • Asia

    • evolving business cycle 40-1

    • financial crisis 6, 40-1, 96, 99, 151, 153-4

  • Asia-Pacific Economic Cooperation (APEC) 153

  • Asia Pacific region 153

  • Asian Bond Fund 153

  • Asian Cooperation Dialogue 153

  • assets

    • high-risk 134-5

    • prices 110

      • trend deviations 65-7

  • Association of South East Asian Nations (ASEAN) 153

  • Australia 55, 59-63, 65, 78-80,105, 110, 111-14, 150

  • Ayuso, J. 24,51

  • Bank of England 3

  • Bank of International Settlements (BIS) 98

  • exposure to Asia 75

  • Bank of Japan 171-2

  • Bank of Thailand 133, 135

  • banks

    • capital levels 22-3

    • lending growth 94

    • margins 86-7

    • number per country 114

    • provisioning rate 88-9

    • public ownership 101

    • state-owned 101

    • stock index (BIN) 104

    • supervision 73-4

      • see also Basel Accord on Banking Supervision (Basel II)

    • US 71

  • Bankscope 94, 100, 114

  • Banque de France 72

  • Basel Accord 1988 (Basel I) 11, 25

    • risk-weights 134

    • trend and cycle 49

  • Basel Accord on Banking Supervision (Basel II) 1, 3-4, 15

    • Committee 27-8, 51, 141-2

    • financial behavior and 137, 141-3, 145, 170-1

    • IAS 39 and 9-54

      • Asian financial systems 40-1, 41

      • basic concepts 38-9

      • consequences of 48-9, 49

      • cyclicality 47-8

      • impact on real activity 21-6

      • policy 28-31,41-2

        • procyclicality: adding to 50-1,50;

        • excessive 39, 51-2;

        • international accounting standards (IAS) 52-3

      • regulatory capital requirements 10-21

      • volatility 27-8

      • see also Pillar I; Pillar II; Pillar III

  • Berg, A. 71, 97, 152

  • Bernanke, B. 48, 68

  • Bernard, H. 74

  • Bikker, J. A. 73, 80

  • Bisignano, J. 74

  • Blum, L. 25

  • bond markets, regional 41

  • Borio, C. 13, 30-1, 48, 52, 147, 149

    • sources of procyclicality and 56, 64, 69, 71-3, 109-10

  • Browne, F. 76

  • Caballero, R. 152

  • capital

    • actual and lending 10, 23-6

    • adequacy ratios (CARs) 98, 163

    • buffer 134

    • charge cyclicality research 17-18

    • inflows 40,41

    • levels 22-3

    • requirements see regulatory capital requirements (Basel II)

    • standards 15

  • Carling, K. 18

  • Caruana, J. 51

  • Catarineu-Rabell, E. 17-18, 19

  • Cavallo, M. 73

  • Cecchetti, S. 149

  • Central Bank of Iceland 164

  • Chan, Norman xiii

  • Chiang Mai initiative 154

  • Chile 151

  • China 41, 55, 59-63, 75, 78-9, 111-14, 125-7, 129

    • banking credit 125-6

  • China Banking Regulatory

    • Commission (CBRC) 79,128-9

  • Chiuri, M. C. 74

  • collateral, reliance on 94-7, 95-6

  • consumer price index (CPI) 82,109, 171

  • Corcóstegui, C. 13, 18, 19

  • Craig, S. 3

  • credit

    • assessment 70-1,97

    • “credit crunch” 74

    • cyclical asymmetries 60, 62,111, 113

    • deviations from trend 65-7

    • growth 108-16

      • determinants of 81, 106-8

    • real 59-62

    • risk 10-20, 70-3

      • -weights 134-5

      • collateral and 70

      • underpricing 71-3

  • CreditMetrics 13

  • CreditPortfolio View 13

  • CreditRisk+ 13

  • crisis thresholds 109

  • Crockett, A. 52

  • Crystal, J. S. 76

  • Danielsson, J. 25,31

  • Davis, E. P. 73-4, 80, 83, 97-8

  • De Haas, R. 76

  • default, probability of (PD) 11-14,18, 21, 72

  • Demirgüç-Kunt, A. 80

  • Deutsche Bank 17

  • disclosure and accounting 140,145-8

  • dollars (US) 83, 154

  • Duchateau, A. 141

  • East Asia-Pacific Central Banks (EMEAP) 153

  • East Asian financial systems see sources of procyclicality

  • EBDTA (Earnings Before Depreciation and Tax) 83, 98,100

  • econometric analysis 77

  • economies, advanced 55, 90-1

  • effective maturity (M) 12

  • Eichberger, J. 25

  • Eichengreen, B. 152

  • emerging market economies 55

    • equations for 90-1

  • Enria, A. 27-8

  • ERM (Exchange Rate Mechanism) crisis 99

  • error correction term (ECT) 81-2, 104-5, 108

  • Ervin, D. W. 17

  • European Central Bank (ECB) 162

  • European Union (EU) 14

    • banks 27

  • “evergreening” of loans 73

  • evolving business cycle 40-1

  • examiner bahavior 46

  • Executives’ Meeting of East Asia-Pacific Central Banks (EMEAP) 153

  • exposure-at-default (EAD) 11-12, 21

  • estimates 15

  • fair value adjustments 33n

  • Fernandez de Lis, S. 52

  • financial behavior 6,137-75

    • Basel II and 170-1

    • Japan and 169-70

    • policy 139-54

      • disclosure and accounting 140

      • institutions and framework 140-54, 165-6

      • macroeconomic 140

      • monetary 161-3: prudential and 171-2

      • supervisory 140

  • procyclical problems 137-9

  • prudential instruments 163-5

  • taxation 165

  • Financial Instruments: Recognition and Measurement (IAS 39) 27

    • see also under Basel Accord on Banking Supervision (Basel II)

  • Financial Sector Assessment Programs (FSAPs) 78-9, 146

  • Financial Stability Reports 78, 146

  • Financial System Stability Assessments (FSSAs) 77

  • financial systems, structure of 58

  • Fischer, S. 153

  • Flannery, M. J. 22, 24

  • forbearance, NPLs and 73-4, 97-8

  • foreign banks 76, 99-100

    • funding 98-9: interbank 74-5, 75

    • role 40

  • Foundation IRB approach 11

  • framework

    • capital standards and 15

    • institutions and 140-54, 165-6

    • regulatory 23, 39

  • FSA (Financial Services Authority) 16, 22-3

  • funding, alternative sources of 74-5, 75, 98-9

  • Furfine, C. H. 12, 24, 26, 48, 52, 72

  • Gertler, M. 48, 99

  • Gilchrist, S. 48

  • Goldstein, M. 152

  • Gonzalez, L. 18

  • Goodhart, C. 2-4, 143, 147

    • Basel II and IAS 39 19, 26, 30-1, 38-40, 47, 50, 52

  • Gordy, M. 14, 16, 19-20, 29-30, 142

  • governmental safety net arrangements 131

  • Greenspan, A. 149

  • Gross Domestic Product (GDP)

    • cyclical asymmetries 60, 63, 111-12

    • real 59-63

  • growth, bank lending 94

  • Gruen, D. 149

  • Guttentag, J. M. 72

  • Habermeier, K. 77

  • Haldane, A. 72

  • Hardy, D.C. 63

  • Hausmann, R. 152

  • Hellwig, M. 25

  • Henning, C. 154

  • Herring, R.J. 72

  • high-risk assets 134-5

  • Hodrick-Prescott filter 109

  • Hong Kong 2, 45-6, 55, 59-63, 65, 78, 79, 80, 105, 110, 111-14, 115

  • Hong Kong Institute for Monetary Research (HKIMR) 2

  • Hong Kong Monetary Authority (HKMA) 46

  • Horváth, E. 72

  • house prices 61-3

    • cyclical asymmetries 62-3, 112-13

  • Howells, B. 14, 16, 19-20, 29-30, 142

  • Hu, H. 80

  • Huizinga, H. 80

  • IAS see International Accounting Standards (IAS)

  • Iceland, Central Bank of 164

  • IMF see International Monetary Fund (IMF)

  • inadequate risk management 39

  • Indonesia 41, 55, 59-63, 65, 75, 78-80, 110, 111-14

  • Ingves, S. 3-5

  • inputs, potential cyclicality of 11-14

    • IRB approach 12-14

    • standardized approach 11-12

  • instability 63-7,65-7

  • institutions 140-54, 165-6

    • policy framework and 150-4

  • internal capital drivers 22-3

  • internal default experience 12-13

  • Internal Rating Based (IRB) approach 4, 11-14, 34

  • International Accounting Standards (IAS) 3, 7, 52-3

    • Board 146

    • IAS 39 Financial Instruments: Recognition and Measurement 27

    • see also under Basel Accord on Banking Supervision (Basel II)

  • “International Convergence of Capital Measurement and Capital Standards: a Revised Framework” 15

  • International Monetary Fund (IMF) 2-5, 146, 151

    • Monetary and Financial Systems Department 3

  • International Reporting Standards 146

  • IRB (Internal Rating Based) approach 4, 11-14, 34

  • Jackson, P. 17-18, 25-6, 27

  • Jacobson, T. 18

  • Japan 14, 26, 169-71

    • procyclicality sources 55-83, 59-63, 66, 75, 98-110, 116

  • Jaudoin, O. 147

  • Jokivuolle, E. 19

  • Jordan, J. S. 18

  • Kaminsky, G. 64, 75, 109

  • Kashyap, A. K. 16, 17-18, 19, 29, 142-3

  • Kiyotaki, N. 69

  • KMV, Moody’s 13, 16, 19

  • Korea 41, 55, 59-63, 78-80, 111-14

    • South 66, 105, 110

  • Laeven, L. 73, 98

  • Latin America 76

  • lending 23-6, 75-6, 135

    • “evergreening” 73

    • growth 84-5, 94

    • losses and 98

    • margins 97

  • liberalization, financial 76-7, 101

  • Lindé, J. 18

  • loan-to-value (LTV) ratio 46, 135

  • Lodge, D. 27

  • London School of Economics (LSE) 2-3

  • Lopez, J. A. 14

  • loss-given-default (LGD) 11-14, 21

    • estimates 15

  • losses and loans 98

  • Lowe, P. 3, 12, 17, 19, 23, 48, 52

    • financial behavior and 147, 149, 168-9

    • procyclicality sources and 64, 71, 109-10

  • Lucas critique 51

  • macroeconomic policy 140, 148-50

  • Majnoni, G. 73, 98

  • Malaysia 41, 151

    • procyclicality sources 55, 59-63, 66, 75, 78, 80, 110, 111-14

  • management information systems (MIS) 128

  • mapping of internal grades 13

  • Marcelo, A. 18

  • margins

    • bank 86-7

    • lending 97

  • market

    • discipline 23

    • emerging economies 55, 90-1

    • regional bond 41

  • Martínez-Pages, J. 52

  • Mero, K. 72

  • Merton-type approach 13, 18

  • Metzemakers, P. 73

  • Mexico 17

  • Mian, A. 76, 101

  • Michael, I. 27

  • models

    • ARIMA 109

    • estimation of 103-8

    • statistical default 13

    • Value-at-Risk (VaR) 25

  • Monetary and Financial Systems Department (IMF) 3

  • monetary policy 46, 161-3

    • prudential and 171-2

  • Moore, J. 69

  • moral hazard 46

  • New Zealand 55-80

  • passim, 59-63, 67, 75, 110, 111-14, 150

  • non-performing loans (NPLs) 57, 79, 124

  • forbearance and 73-4, 97-8

  • O’Brien, P. F. 76

  • OECD (Organization for Economic Co-operation and Development) countries 55, 73

  • offshore funds 98-9

  • opinions, policy 2, 6-7

  • Pazarbasioglu, C. 64

  • Peek, J. 18, 74

  • Pérez, D. 51

  • Peura, S. 19

  • Philippines 41, 55-78

  • passim, 59-63, 67, 75, 110, 111-14

  • Pillar I 10, 20-1, 26, 28-9, 103

    • credit risk and 10-20

    • methodology 15-16

  • Pillar II 3, 29, 51, 103, 142-3, 170

    • capital requirements and 10, 15, 26

    • stress testing and 20-1

  • Pillar III 15, 29

  • PIT practices 16, 19

  • Plantin, G. 28

  • policy 28-31, 41-2

    • broader issues 30-1

    • financial behavior 139-54

    • macroeconomic 140, 148-50

    • monetary 46, 161-3

      • prudential and 171-2

    • opinions 2, 6-7

    • procyclicality, sources of 102-3, 132-5

    • regulatory capital requirements 29-30

    • supervision 140-5

  • Poveda, R. 147

  • probability of default (PD) 11-14, 18, 21, 72

    • estimates 15

  • “Procyclicality and Volatility in the Financial System: the Implementation of Basel II and IAS 39” 3

  • property sector 135

    • prices

      • credit and risks 108-16, 111-16

      • proxies 95;residential 96

    • see also house prices

  • provisioning 88-9, 135

  • prudential

    • instruments 163-5

    • policy 171-2

    • tools 134-5

  • Rangan, K. P. 22, 24

  • regional bond markets 41

  • regulation 23, 39, 46

  • regulatory capital requirements (Basel II) 10-21

    • impact on real activity 21-6

      • actual capital and lending 23-6

      • bank capital levels 22-3

    • Pillar I and credit risk 10-20, 17-18

    • Pillar II and stress testing 20-1

  • Reinhart, C. 64, 109

  • Reserve Bank of Australia 3

  • risk

    • -based supervision 132-4

    • -weights 32n, 134-5

    • assessment 140, 145, 168

    • management

      • governance and 70-3

      • inadequate 39

    • measurement methodologies 127

    • property prices and 108-16, 111-16

  • Roldos, J. 74

  • Romer, C. 77

  • Romer, D. 77

  • Rosch, D. 18

  • Rosengren, E. 18, 74

  • Roszbach, K. 18

  • safety net arrangements 131

  • Saunders, A. 13-14

  • Saurina, J. 51-2

  • Segoviano, M. 12, 17, 19, 23

  • Shiller, R. 152

  • Singapore 55-80

  • passim, 59-63, 67, 75, 105, 110, 111-14

  • sources of procyclicality

    • assessing importance of 77-8

    • banking sector and 130-2

    • China and 125-9

  • empirical results 80-101

    • bank-level data 82-101, 84-93, 95-6

    • estimation of model 103-8:

      • time series data 105-8, 106-8

    • macro data panel 80-2, 81

  • factors in Asia 78-9

  • features in Asia 59-67, 59-63

    • financial instability 63-7, 65-7

  • financial system contribution 68-77

    • alternative funding 74-5

    • bank supervision weakness 73-4

    • financial accelerator 68-9

    • risk management and governance weakness 70-3

    • structure 75-7

  • policy 102-3, 132-5

  • property prices, credit and risks 108-16,111-16

  • supervisory responses 127-8

  • South Korea 66, 105, 110

  • Spain 13, 18, 24, 52, 147-8

  • Sparrow, M. 174

  • state-owned banks 75-6

  • statistical default models 13

  • Stein, J. C. 16, 17-18, 19, 29, 142-3

  • Stevens, G. 3, 6-7, 71, 149, 168-9

  • Stone, M. 74

  • stress testing 20-1

  • structure of financial systems 58, 75-7

  • Summer, M. 25

  • supervision

    • capabilities 39

    • policies 140-5

    • risk-based 132-4

    • see also Basel Accord on Banking Supervision (Basel II)

  • Sweden 18, 165

  • “systemic factor”, Goodhart and 143

  • Taiwan, Province of China/Taiwan POC 41

  • taxation 165

  • Taylor, A. 3, 38-40, 47, 50, 52

  • Thailand 41, 55-80

  • passim, 59-63, 75, 110, 111-14

  • theoretical roadmap 3-4

  • Thoraval, P.Y. 141

  • “through-the-cycle” (TTC) 12-13, 15

  • Trucharte, C. 18

  • Tsocomos, D. P. 17-18

  • Turner, P. 152

  • Udell, G. 71, 97

  • United Kingdom (UK) 22, 99, 150

  • United States of America (USA) 14-26 passim, 40, 74, 150, 165

  • banks 71

  • dollars 83, 154

  • Value-at-Risk (VaR)

    • measures 13

    • see also models

  • van Lelyveld, I. 76

  • Viñals, J. 38

  • volatility see under Basel Accord on Banking Supervision (Basel II)

  • Wachter, S. 72

  • weak supervisory capabilities 39

  • White, W. R. 30-1

  • Wilde, T. 17

  • World Bank 146

  • Yam, J. 40

  • Zhu, H. 80, 83, 97-8

  • Zhu, J. 73

  • Zigrand, J.-P. 25

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