tailieunhanh - Shelagh heffernan modern banking phần 6

Xem xét hiệu suất thông qua một trở lại nguy cơ điều chỉnh vốn (RAROC), . § Đáp ứng các tiêu chuẩn công bố quy định dưới cột lượng dưới nguy cơ nền tảng IRB Bảng được áp dụng cho tất cả các tiếp xúc doanh nghiệp, chủ quyền và liên ngân hàng. | ---- 344 --------------------------------------------------------------------------------------- Modern Banking A rescheduling variable RESC the dependent variable lagged by one year was also included as an explanatory variable and found to be significant at 1 indicating the presence of positive serial correlation Thus if a country rescheduled one year it is likelier to do so the next. When the model is estimated for the later period Rivoli and Brewer find its overall explanatory power falls. The parameter estimates are smaller so their usefulness as explanatory variables is reduced and the ratio of reserves to imports is no longer significant. The correct overall prediction rate was found to be 20 higher in the earlier period. The next step of the investigation involved introducing the political variables. When added to the earlier model 1980-85 they are found to have little impact on overall performance. The only political variables found to be significant are the presence and length of armed conflict. According to the authors armed conflict will place heavy demands on government budgets and often require large-sum hard currency expenditures hence it could raise the probability of rescheduling. Adding the short and long-term political variables improved the prediction rate for rescheduling by 18 and 35 respectively. Overall the explanatory power of the economic and political variables was greater for the early period 1980-85 compared to the later period. However by adding the political variables a political economic model the correct rescheduling prediction rate improved by 9 short-term measures of political instability and 12 long-term measures in the early period. For the later period 1986-90 the correct prediction rate rose by 18 short-term measures and 35 long-term measures . Recall that armed conflict was found to be the significant variable in the current study which differs from the authors 1990 results when government instability was found to .

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