Search results for: credit markets

Authors: Oduntan Oluwakemi, Obisesan Adekemi Adebisola, Ayo-Bello Taofeeq Ayodeji

Abstract:

The study examined the factors influencing the adoption of climate-smart agricultural practices among maize farmers in Ondo State, Nigeria. A Multi-stage sampling procedure was used to randomly select one hundred respondents for the study. Primary data were collected from the respondents with the aid of a structured questionnaire and analysed using descriptive statistics and a probit regression model. The results of this study showed that crop diversification was the most adopted climate-smart agricultural practice by the respondents, and adoption of Climate Smart Agricultural practices is still very low among the respondents. Results of probit regression revealed that marital status, access to extension services, farming experience, membership of farmers’ association, and access to credit had a positive influence on the adoption of climate-smart agricultural practices, while age, farm size, and total income had a negative influence. Based on the findings of the study, it was recommended that government should develop suitable policies that will encourage farmers, especially rural farmers, to adopt and utilize Climate Smart Agricultural Practices (CSAP). Equally, the study also recommended government should be geared towards supporting improved extension services, providing on-farm demonstration training, disseminating information about climate-smart agricultural practices, and providing credit facilities through the Agricultural Credit Guarantee Scheme Fund and bank credit to farmers in order to enhance the adoption.

Keywords: adoption, agriculture, climate-smart, farmers, maize, Nigeria

Procedia PDF Downloads 136

Authors: Aleksandra Nocoń (Szunke)

Abstract:

The study is a review of the literature concerning the consequences of non-standard monetary policy, which are used by central banks during unconventional periods, threatening instability of the banking sector. In particular, the attention was paid to the effects of non-standard monetary policy tools for financial markets. However, the empirical evidence about their effects and real consequences for the financial markets are still not final. The main aim of the study is to survey the consequences of standard and non-standard monetary policy instruments, implemented during the global financial crisis in the United States, United Kingdom and Euroland, with particular attention to the results for the stabilization of global financial markets. The study analyses the consequences for short and long-term market interest rates, interbank interest rates and LIBOR-OIS spread. The study consists mainly of the empirical review, indicating the impact of the implementation of these tools for the financial markets. The following research methods were used in the study: literature studies, including domestic and foreign literature, cause and effect analysis and statistical analysis.

Keywords: asset purchase facility, consequences of monetary policy instruments, non-standard monetary policy, quantitative easing

Procedia PDF Downloads 332

Authors: Milton Jusu, Moses Koroma

Abstract:

Efforts by the Ministry of Fisheries and Marine Resources and its development partners to introduce “modern” aquaculture in Sierra Leone since the 1970s have not been successful. A number of reasons have been hypothesized, including the suggestion that the market infrastructure and demand for farmed fish were inadequate to stimulate large-scale and widespread aquaculture production in the country. We have assessed the size, structure, networks and opportunities in fish markets using a combination of Participatory Rural Appraisals (PRAs) and questionnaire surveys conducted in a sample of 29 markets (urban, weekly, wholesale and retail) and two hundred traders. The study showed that the local fish markets were dynamic, with very high variations in demand and supply. The markets sampled supplied between 135.2 and 9947.6 tonnes/year. Mean prices for fresh fish varied between US$1.12 and US$3.89/kg depending on species, with smoked catfish and shrimps commanding prices as high as US$7.4/kg. It is unlikely that marine capture fisheries can increase their current production levels, and these may, in fact, already be over-exploited and declining. Marine fish supplies are particularly low between July and September. More careful attention to the timing of harvests (rainy season, not dry season) and to species (catfish, not tilapia) (could help in the successful adoption of aquaculture.

Keywords: fisheries and aquaculture, fish market, marine fish supplies, harvests

Procedia PDF Downloads 74

Authors: ChunYi Peng, Wei Hsuan CHeng, Shyh Kuang Ueng

Abstract:

This study focuses on the application of self-organizing maps (SOM) technology in analyzing credit card transaction data, aiming to enhance the accuracy and efficiency of fraud detection. Som, as an artificial neural network, is particularly suited for pattern recognition and data classification, making it highly effective for the complex and variable nature of credit card transaction data. By analyzing transaction characteristics with SOM, the research identifies abnormal transaction patterns that could indicate potentially fraudulent activities. Moreover, this study has developed a specialized visualization tool to intuitively present the relationships between SOM analysis outcomes and transaction data, aiding financial institution personnel in quickly identifying and responding to potential fraud, thereby reducing financial losses. Additionally, the research explores the integration of SOM technology with composite intelligent system technologies (including finite state machines, fuzzy logic, and decision trees) to further improve fraud detection accuracy. This multimodal approach provides a comprehensive perspective for identifying and understanding various types of fraud within credit card transactions. In summary, by integrating SOM technology with visualization tools and composite intelligent system technologies, this research offers a more effective method of fraud detection for the financial industry, not only enhancing detection accuracy but also deepening the overall understanding of fraudulent activities.

Keywords: self-organizing map technology, fraud detection, information visualization, data analysis, composite intelligent system technologies, decision support technologies

Procedia PDF Downloads 60

Authors: V. M. Mmbengwa, J. R. M. Mabuso, C. P. Du Plooy, S. Laurrie, H. D. van Schalkwyk

Abstract:

Sweet potato products are necessary for the provision of essential nutrients in every household, regardless of their poverty status. Their consumption appears to be highly influenced by socio-economic factors, such as malnutrition, food insecurity and unemployment. Therefore, market availability is crucial for these cultivars to resolve some of the socio-economic factors. The aim of the study was to investigate market availability of sweet potato cultivars in the North West Province. In this study, both qualitative and quantitative research methodologies were used. Qualitative methodology was used to explain the quantitative outcomes of the variables. On the other hand, quantitative results were used to test the hypothesis. The study used SPSS software to analyse the data. Cross-tabulation and Chi-square statistics were used to obtain the descriptive and inferential analyses, respectively. The study found that the Blesbok cultivar is dominating the markets of the North West Province, with the Monate cultivar dominating in the Bojanala Platinum (75 %) and Dr Ruth Segomotsi Mompati (25 %) districts. It is also found that a unit increase in the supply of sweet potato cultivars in both local and district municipal markets is accompanied by a reduced demand of 28 % and 33 % at district and local markets, respectively. All these results were found to be significant at p<0.05. The results further revealed that in four out of nine local municipality markets, the Blesbok cultivar seems to be solely available in those four local municipal markets of North West Province. It can be concluded that Blesbok, relative to other cultivars, is the most commercialised sweet potato variety and that consumers across this Province are highly aware of it. For other cultivars to assume market prominence in this Province, a well-designed marketing campaign for creating awareness may be required. This campaign may be based on nutritional advantages of different cultivars, of which Blesbok is relatively inferior, compared to orange-fleshed sweet potato varieties.

Keywords: cultivar, malnutrition, markets, sweet potato

Procedia PDF Downloads 295

Authors: Peng Chun-Yi, Chen Wei-Hsuan, Ueng Shyh-Kuang

Abstract:

This study focuses on the application of self-organizing maps (SOM) technology in analyzing credit card transaction data, aiming to enhance the accuracy and efficiency of fraud detection. Som, as an artificial neural network, is particularly suited for pattern recognition and data classification, making it highly effective for the complex and variable nature of credit card transaction data. By analyzing transaction characteristics with SOM, the research identifies abnormal transaction patterns that could indicate potentially fraudulent activities. Moreover, this study has developed a specialized visualization tool to intuitively present the relationships between SOM analysis outcomes and transaction data, aiding financial institution personnel in quickly identifying and responding to potential fraud, thereby reducing financial losses. Additionally, the research explores the integration of SOM technology with composite intelligent system technologies (including finite state machines, fuzzy logic, and decision trees) to further improve fraud detection accuracy. This multimodal approach provides a comprehensive perspective for identifying and understanding various types of fraud within credit card transactions. In summary, by integrating SOM technology with visualization tools and composite intelligent system technologies, this research offers a more effective method of fraud detection for the financial industry, not only enhancing detection accuracy but also deepening the overall understanding of fraudulent activities.

Keywords: self-organizing map technology, fraud detection, information visualization, data analysis, composite intelligent system technologies, decision support technologies

Procedia PDF Downloads 60

Authors: Denys Osipenko, Jonathan Crook

Abstract:

Because of the variety of the card holders’ behaviour types and income sources each consumer account can be transferred to a variety of states. Each consumer account can be inactive, transactor, revolver, delinquent, defaulted and requires an individual model for the income prediction. The estimation of transition probabilities between statuses at the account level helps to avoid the memorylessness of the Markov Chains approach. This paper investigates the transition probabilities estimation approaches to credit cards income prediction at the account level. The key question of empirical research is which approach gives more accurate results: multinomial logistic regression or multistage conditional logistic regression with binary target. Both models have shown moderate predictive power. Prediction accuracy for conditional logistic regression depends on the order of stages for the conditional binary logistic regression. On the other hand, multinomial logistic regression is easier for usage and gives integrate estimations for all states without priorities. Thus further investigations can be concentrated on alternative modeling approaches such as discrete choice models.

Keywords: multinomial regression, conditional logistic regression, credit account state, transition probability

Procedia PDF Downloads 487

Authors: Bhawat Chiamjinnawat

Abstract:

The agri-food market transformation has implied market growth for the fruit industry in Thailand. This article focuses on analysis of farmer competence and farm resources which affect market strategies used by fruit farmers in Chanthaburi province of Thailand. The survey data were collected through the use of face-to-face interviews with structured questionnaires. This study identified 14 drivers related to farmer competence and farm resources of which some had significant effect on the decision to use either high-value markets or traditional markets. The results suggest that farmers who used high-value markets were better educated and they had longer experience and larger sized business. Identifying the important factors that match with the market transformation provides policy with opportunities to support the fruit farmers to increase their market power. Policies that promote business expansion of agricultural cooperatives and knowledge sharing among farmers are recommended to reduce limitations due to limited knowledge, low experience, and small business sizes.

Keywords: farmer competence, farm resources, fruit industry, high-value markets, Thailand

Procedia PDF Downloads 164

Authors: Ahmed BenSaïda

Abstract:

This study examines the relationship between crude oil and the Gulf Cooperation Council (GCC) region stock markets by employing a regime-switching approach. The methodology provides new insights into how the interrelationship between oil and GCC stock markets may fluctuate in different economic or market regimes, which is crucial for understanding the transmission of oil shocks and tailoring policy responses. Our findings indicate that the spillovers between the underlying assets are asymmetric. Specifically, during the turmoil periods, the connectedness is intense among these assets, whereas during tranquil periods, the linkage is moderate. Furthermore, an increase in oil prices can positively contribute to the profits of firms that are heavily dependent on oil, leading to an increase in the linkage between these countries and crude oil. The findings have important implications for investors and decision-makers in the GCC region.

Keywords: GCC indices, oil, regime-switching, spillovers

Procedia PDF Downloads 24

Authors: Manel Youssef, Lotfi Belkacem

Abstract:

This paper employs multivariate long memory GARCH models to simultaneously estimate mean and conditional variance spillover effects between oil prices and different financial markets. Since different financial assets are traded based on these market sector returns, it’s important for financial market participants to understand the volatility transmission mechanism over time and across these series in order to make optimal portfolio allocation decisions. We examine weekly returns from January 1, 2003 to November 30, 2012 and find evidence of significant transmission of shocks and volatilities between oil prices and some of the examined financial markets. The findings support the idea of cross-market hedging and sharing of common information by investors.

Keywords: oil prices, stock indices returns, oil volatility, contagion, DCC-multivariate (FI) GARCH

Procedia PDF Downloads 534

Authors: Xu Wang

Abstract:

This research builds linear regressions of U.S. macroeconomic condition and volatility measures in the investment grade and high yield Credit Default Swap index spreads using monthly data from March 2009 to July 2016, to study the relationship between different dimensions of macroeconomy and overall credit risk quality. The most significant contribution of this research is systematically examining individual and joint effects of macroeconomic condition and volatility on CDX spreads by including macroeconomic time series that captures different dimensions of the U.S. economy. The industrial production index growth, non-farm payroll growth, consumer price index growth, 3-month treasury rate and consumer sentiment are introduced to capture the condition of real economic activity, employment, inflation, monetary policy and risk aversion respectively. The conditional variance of the macroeconomic series is constructed using ARMA-GARCH model and is used to measure macroeconomic volatility. The linear regression model is conducted to capture relationships between monthly average CDX spreads and macroeconomic variables. The Newey–West estimator is used to control for autocorrelation and heteroskedasticity in error terms. Furthermore, the sensitivity factor analysis and standardized coefficients analysis are conducted to compare the sensitivity of CDX spreads to different macroeconomic variables and to compare relative effects of macroeconomic condition versus macroeconomic uncertainty respectively. This research shows that macroeconomic condition can have a negative effect on CDX spread while macroeconomic volatility has a positive effect on determining CDX spread. Macroeconomic condition and volatility variables can jointly explain more than 70% of the whole variation of the CDX spread. In addition, sensitivity factor analysis shows that the CDX spread is the most sensitive to Consumer Sentiment index. Finally, the standardized coefficients analysis shows that both macroeconomic condition and volatility variables are important in determining CDX spread but macroeconomic condition category of variables have more relative importance in determining CDX spread than macroeconomic volatility category of variables. This research shows that the CDX spread can reflect the individual and joint effects of macroeconomic condition and volatility, which suggests that individual investors or government should carefully regard CDX spread as a measure of overall credit risk because the CDX spread is influenced by macroeconomy. In addition, the significance of macroeconomic condition and volatility variables, such as Non-farm Payroll growth rate and Industrial Production Index growth volatility suggests that the government, should pay more attention to the overall credit quality in the market when macroecnomy is low or volatile.

Keywords: autoregressive moving average model, credit spread puzzle, credit default swap spread, generalized autoregressive conditional heteroskedasticity model, macroeconomic conditions, macroeconomic uncertainty

Procedia PDF Downloads 167

Authors: Miriam Sosa, Edgar Ortiz, Alejandra Cabello

Abstract:

This paper examines the volatility changes and leverage effects of the MILA stock markets and their changes since the 2007 global financial crisis. This group integrates the stock markets from Chile, Colombia, Mexico and Peru. Volatility changes and leverage effects are tested with a symmetric GARCH (1,1) and asymmetric TARCH (1,1) models with a dummy variable in the variance equation. Daily closing prices of the stock indexes of Chile (IPSA), Colombia (COLCAP), Mexico (IPC) and Peru (IGBVL) are examined for the period 2003:01 to 2015:02. The evidence confirms the presence of an overall increase in asymmetric market volatility in the Peruvian share market since the 2007 crisis.

Keywords: financial crisis, Latin American Integrated Market, TARCH, GARCH

Procedia PDF Downloads 279

Authors: Molla Tadesse Lakew

Abstract:

This study was intended to identify the factors influencing the use of mobile phones in vegetable marketing in Fogera district. The use of mobile phones in vegetable marketing and factors influencing mobile phone use were specific objectives of the study. Three kebeles from the Fogera district were selected purposively based on their vegetable production potential. A simple random sampling technique (lottery method) was used to select 153 vegetable producer farmers. Interview schedule and key informants interviews were used to collect primary data. For analyzing the data, descriptive statistics like frequency and percentage, two independent t-tests, and chi-square were used. Furthermore, econometric analysis (binary logistic model) was used to assess the factors influencing mobile phone use for vegetable market information. Contingency coefficient and variance inflation factor were used to check multicollinearity problems between the independent variables. Of 153 respondents, 82 (61.72%) were mobile phone users, while 71 (38.28 %) were mobile phone nonusers. Moreover, the main use of mobile phones in vegetable marketing includes communicating at a distance to save time and minimizing transport costs, getting vegetable marketing price information, identifying markets and buyers to sell the vegetable, deciding when to sell the vegetable, negotiating with buyers for better vegetable prices and for searching of the fast market to avoid from losing of product through perishing. The model result indicated that the level of education, size of land, income, access to credit, and age were significant variables affecting the use of mobile phones in vegetable marketing. It could be recommended to encourage adult education or give training for farmers on how to operate mobile phones and create awareness for the elderly rural farmers as they are able to use the mobile phone for their vegetable marketing. Moreover, farmers should be aware that mobile phones are very important for those who own very small land to get maximum returns from their production. Lastly, providing access to credit and improving and diversifying income sources for the farmers to have mobile phones were recommended to improve the livelihood of farmers.

Keywords: mobile phone, farmers, vegetable marketing, Fogera District

Procedia PDF Downloads 74

Authors: Ameen Alshugaa, Abul Mansur Masih

Abstract:

This paper sheds light on the economic impacts of political uncertainty caused by the civil uprisings that swept the Arab World and have been collectively known as the Arab Spring. Measuring documented effects of political uncertainty on regional stock market indices, we examine the impact of the Arab Spring on the volatility of stock markets in eight countries in the Middle East and North Africa (MENA) region: Egypt, Lebanon, Jordon, United Arab Emirate, Qatar, Bahrain, Oman and Kuwait. This analysis also permits testing the existence of financial contagion among equity markets in the MENA region during the Arab Spring. To capture the time-varying and multi-horizon nature of the evidence of volatility and contagion in the eight MENA stock markets, we apply two robust methodologies on consecutive data from November 2008 to March 2014: MGARCH-DCC, Continuous Wavelet Transforms (CWT). Our results indicate two key findings. First, the discrepancies between volatile stock markets of countries directly impacted by the Arab Spring and countries that were not directly impacted indicate that international investors may still enjoy portfolio diversification and investment in MENA markets. Second, the lack of financial contagion during the Arab Spring suggests that there is little evidence of cointegration among MENA markets. Providing a general analysis of the economic situation and the investment climate in the MENA region during and after the Arab Spring, this study bear significant importance for policy makers, local and international investors, and market regulators.

Keywords: Portfolio Diversification , MENA Region , Stock Market Indices, MGARCH-DCC, Wavelet Analysis, CWT

Procedia PDF Downloads 292

Authors: Mohammad Ghavami, Reza S. Dilmaghani

Abstract:

This paper presents an adaptive framework for modelling financial markets using equity risk premiums, risk free rates and volatilities. The recorded economic factors are initially used to train four adaptive filters for a certain limited period of time in the past. Once the systems are trained, the adjusted coefficients are used for modelling and prediction of an important financial market index. Two different approaches based on least mean squares (LMS) and recursive least squares (RLS) algorithms are investigated. Performance analysis of each method in terms of the mean squared error (MSE) is presented and the results are discussed. Computer simulations carried out using recorded data show MSEs of 4% and 3.4% for the next month prediction using LMS and RLS adaptive algorithms, respectively. In terms of twelve months prediction, RLS method shows a better tendency estimation compared to the LMS algorithm.

Keywords: adaptive methods, LSE, MSE, prediction of financial Markets

Procedia PDF Downloads 338

Authors: Mohammad Yousaf Safi Mohibullah Afghan

Abstract:

The study made on Islamic and conventional banks scrutinizes the risks interconnected with credit and liquidity on the productivity performance of Islamic and conventional banks that operate in Pakistan. Among the banks, only 4 Islamic and 18 conventional banks have been selected to enrich the result of our study on Islamic banks performance in connection to conventional banks. The selection of the banks to the panel is based on collecting quarterly unbalanced data ranges from the first quarter of 2007 to the last quarter of 2017. The data are collected from the Bank’s web sites and State Bank of Pakistan. The data collection is carried out based on Delta-method test. The mentioned test is used to find out the empirical results. In the study, while collecting data on the banks, the return on assets and return on equity have been major factors that are used assignificant proxies in determining the profitability of the banks. Moreover, another major proxy is used in measuring credit and liquidity risks, the loan loss provision to total loan and the ratio of liquid assets to total liability. Meanwhile, with consideration to the previous literature, some other variables such as bank size, bank capital, bank branches, and bank employees have been used to tentatively control the impact of those factors whose direct and indirect effects on profitability is understood. In conclusion, the study emphasizes that credit risk affects return on asset and return on equity positively, and there is no significant difference in term of credit risk between Islamic and conventional banks. Similarly, the liquidity risk has a significant impact on the bank’s profitability, though the marginal effect of liquidity risk is higher for Islamic banks than conventional banks.

Keywords: islamic & conventional banks, performance return on equity, return on assets, pakistan banking sectors, profitibility

Procedia PDF Downloads 166

Authors: Saleem Abuleil, Khalid S. Alsamara

Abstract:

Events represent a significant source of information on the web; they deliver information about events that occurred around the world in all kind of subjects and areas. These events can be collected and organized to provide valuable and useful information for decision makers, researchers, as well as any person seeking knowledge. In this paper, we discuss an ongoing research to target stock markets domain to observe and record changes (events) when they happen, collect them, understand the meaning of each one of them, and organize the information along with meaning in a well-structured format. By using Semantic Role Labeling (SRL) technique, we identified four factors for each event in this paper: verb of action and three roles associated with it, entity name, attribute, and attribute value. We have generated a set of rules and techniques to support our approach to analyze and understand the meaning of the events taking place in stock markets.

Keywords: natuaral language processing, Arabic language, event extraction and understanding, sematic role labeling, stock market

Procedia PDF Downloads 393

Authors: Thomas Chinwe Urama, Patrick Oseloka Ezepue, Peters Chimezie Nnanwa

Abstract:

This paper investigates the universal financial dynamics in two dominant stock markets in Sub-Saharan Africa, through an in-depth analysis of the cross-correlation matrix of price returns in Nigerian Stock Market (NSM) and Johannesburg Stock Exchange (JSE), for the period 2009 to 2013. The strength of correlations between stocks is known to be higher in JSE than that of the NSM. Particularly important for modelling Nigerian derivatives in the future, the interactions of other stocks with the oil sector are weak, whereas the banking sector has strong positive interactions with the other sectors in the stock exchange. For the JSE, it is the oil sector and beverages that have greater sectorial correlations, instead of the banks which have the weaker correlation with other sectors in the stock exchange.

Keywords: random matrix theory, cross-correlations, emerging markets, option pricing, eigenvalues eigenvectors, inverse participation ratios and implied volatility

Procedia PDF Downloads 302

Authors: Sarkar Humayun Kabir

Abstract:

This paper aims to investigate whether ethical investment instruments could contribute to stability in financial markets. In order to address the main issue, the study investigates the stability of return in seven conventional and Islamic equity markets of Asia, Europe and North America and in five major commodity markets starting from 1996 to June 2012. In addition, the study examines the unconditional correlation between returns of the assets under review to investigate portfolio diversification benefits of investors. Applying relevant methods, the study finds that investors may enjoy sustainable returns from their portfolios by investing in ethical financial instruments such as Islamic equities. In addition, it should be noted that most of the commodities, gold in particular, are either low or negatively correlated with equity returns. These results suggest that investors would be better off by investing in portfolios combining Islamic equities and commodities in general. The sustainable returns of ethical investments has important implications for the investors and markets since these investments can provide stable returns while the investors can avoid production of goods and services which believes to be harmful for human and the society as a whole.

Keywords: financial sustainability, ethical investment instruments, islamic equity, dynamic conditional correlation, conditional volatility

Procedia PDF Downloads 309

Authors: Mohammed Yagoub

Abstract:

The new orientation to the market economy sponsored by the Algeria government in the early Nineties of the last century, and its desire to develop investment mechanisms and the promotion of development recently, the access into a partnership with the European Union, and the forthcoming accession to the World Trade Organization, foreign direct investment makes one of the most important means of opening up to foreign markets and bring technology and interact with globalization, this article we will discuss the impact of FDI on economic growth in the Algerian.

Keywords: economic, development, markets, FDI, displacement, globalization

Procedia PDF Downloads 363

Authors: Ellis Kofi Akwaa-Sekyi, Jordi Moreno Gené

Abstract:

Managerial actions which negatively profile banks and impair corporate reputation are addressed through effective internal control systems. Disregard for acceptable standards and procedures for granting credit have affected bank loan portfolios and could be cited for the crises in some European countries. The study intends to determine the effectiveness of internal control systems, investigate whether perceived agency problems exist on the part of board members and to establish the relationship between internal controls and credit risk among listed banks in the European Union. Drawing theoretical support from the behavioural compliance and agency theories, about seventeen internal control variables (drawn from the revised COSO framework), bank-specific, country, stock market and macro-economic variables will be involved in the study. A purely quantitative approach will be employed to model internal control variables covering the control environment, risk management, control activities, information and communication and monitoring. Panel data from 2005-2014 on listed banks from 28 European Union countries will be used for the study. Hypotheses will be tested and the Generalized Least Squares (GLS) regression will be run to establish the relationship between dependent and independent variables. The Hausman test will be used to select whether random or fixed effect model will be used. It is expected that listed banks will have sound internal control systems but their effectiveness cannot be confirmed. A perceived agency problem on the part of the board of directors is expected to be confirmed. The study expects significant effect of internal controls on credit risk. The study will uncover another perspective of internal controls as not only an operational risk issue but credit risk too. Banks will be cautious that observing effective internal control systems is an ethical and socially responsible act since the collapse (crisis) of financial institutions as a result of excessive default is a major contagion. This study deviates from the usual primary data approach to measuring internal control variables and rather models internal control variables in a quantitative approach for the panel data. Thus a grey area in approaching the revised COSO framework for internal controls is opened for further research. Most bank failures and crises could be averted if effective internal control systems are religiously adhered to.

Keywords: agency theory, credit risk, internal controls, revised COSO framework

Procedia PDF Downloads 320

Authors: Chester Joshua V. Saldana, Yolanda A. Ilagan

Abstract:

This study determines the prevalence of Salmonella from retail dressed chickens using chicken wings as samples in five wet city markets of Cavite, Philippines, compares the prevalence among the markets' samples and determines the serotypes and antibiotic resistance pattern of Salmonella isolates. The overall prevalence of Salmonella in five wet markets in Cavite was 13.33 percent. Samples from Bacoor yielded the highest prevalence rate of 26.6 percent, followed by Imus (23.3%), Dasmarinas (11.6%), Trece Martires (3.3%) and Tagaytay (1.6%). Seven serotypes (serogroups B, C2, C3, D1 and E1) were isolated which include Salmonella weltevreden, S. derby, S. newport, S. albany, S. typhimurium, and S. enteritidis. Salmonella weltevreden was the predominant serotype while S. typhi and S. albany were the least common. Among the 15 antibiotics tested, resistance to ampicillin, tetracycline, and cephalexin was exhibited by all the isolates while 5 percent showed resistance to gentamicin, 2.5 percent to streptomycin and 12.5 percent to nitrofurantoin. One isolate was resistant to four antibiotics whereas most isolates of S. enteritidis were resistant to 2 to 5 antibiotics. Four resistance patterns were recorded. This study revealed the emergence of multidrug-resistant Salmonella serotypes from chicken meat in Cavite, Philippines.

Keywords: antibiotics, dressed chickens, resistance patterns, Salmonella serovars

Procedia PDF Downloads 331

Authors: Alexandru-Ion Marinescu

Abstract:

There exist a plethora of methods in the scientific literature which tackle the well-established task of credit score evaluation. In its most abstract form, a credit scoring algorithm takes as input several credit applicant properties, such as age, marital status, employment status, loan duration, etc. and must output a binary response variable (i.e. “GOOD” or “BAD”) stating whether the client is susceptible to payment return delays. Data imbalance is a common occurrence among financial institution databases, with the majority being classified as “GOOD” clients (clients that respect the loan return calendar) alongside a small percentage of “BAD” clients. But it is the “BAD” clients we are interested in since accurately predicting their behavior is crucial in preventing unwanted loss for loan providers. We add to this whole context the constraint that the algorithm must yield an actual, tractable mathematical formula, which is friendlier towards financial analysts. To this end, we have turned to genetic algorithms and genetic programming, aiming to evolve actual mathematical expressions using specially tailored mutation and crossover operators. As far as data representation is concerned, we employ a very flexible mechanism – LINQ expression trees, readily available in the C# programming language, enabling us to construct executable pieces of code at runtime. As the title implies, they model trees, with intermediate nodes being operators (addition, subtraction, multiplication, division) or mathematical functions (sin, cos, abs, round, etc.) and leaf nodes storing either constants or variables. There is a one-to-one correspondence between the client properties and the formula variables. The mutation and crossover operators work on a flattened version of the tree, obtained via a pre-order traversal. A consequence of our chosen technique is that we can identify and discard client properties which do not take part in the final score evaluation, effectively acting as a dimensionality reduction scheme. We compare ourselves with state of the art approaches, such as support vector machines, Bayesian networks, and extreme learning machines, to name a few. The data sets we benchmark against amount to a total of 8, of which we mention the well-known Australian credit and German credit data sets, and the performance indicators are the following: percentage correctly classified, area under curve, partial Gini index, H-measure, Brier score and Kolmogorov-Smirnov statistic, respectively. Finally, we obtain encouraging results, which, although placing us in the lower half of the hierarchy, drive us to further refine the algorithm.

Keywords: expression trees, financial credit scoring, genetic algorithm, genetic programming, symbolic evolution

Procedia PDF Downloads 120

Authors: Laurent Maurin, Mervi Toivanen

Abstract:

This paper estimates euro area banks’ internal target capital ratios and investigates whether banks’ adjustment to the targets have an impact on credit supply and holding of securities during the financial crisis in 2005-2011. Using data on listed banks and country-specific macro-variables a partial adjustment model is estimated in a panel context. The results indicate, firstly, that an increase in the riskiness of banks’ balance sheets influences positively on the target capital ratios. Secondly, the adjustment towards higher equilibrium capital ratios has a significant impact on banks’ assets. The impact is found to be more size-able on security holdings than on loans, thereby suggesting a pecking order.

Keywords: Euro area, capital ratios, credit supply, partial adjustment model

Procedia PDF Downloads 448

Authors: Tetsuji Tanaka, Jin Guo

Abstract:

The extant literature has not succeeded in uncovering the common determinants of price volatility transmissions of agricultural commodities from international to local markets, and further, has rarely investigated the role of self-sufficiency measures in the context of national food security. We analyzed various factors to determine the degree of price volatility transmissions of wheat, rice, and maize between world and domestic markets using GARCH models with dynamic conditional correlation (DCC) specifications and panel-feasible generalized least square models. We found that the grain autarky system has the potential to diminish volatility pass-throughs for three grain commodities. Furthermore, it was discovered that the substitutive commodity consumption behavior between maize and wheat buffers the volatility transmissions of both, but rice does not function as a transmission-relieving element, either for the volatilities of wheat or maize. The effectiveness of grain consumption substitution to insulate the pass-throughs from global markets is greater than that of cereal self-sufficiency. These implications are extremely beneficial for developing governments to protect their domestic food markets from uncertainty in foreign countries and as such, improves food security.

Keywords: food security, GARCH, grain self-sufficiency, volatility transmission

Procedia PDF Downloads 156

Authors: Xiaoyu Shen, Fang Fang, Chujun Qiu

Abstract:

Herewith we present a Fourier method for credit risk quantification and allocation in the factor-copula model framework. The key insight is that, compared to directly computing the cumulative distribution function of the portfolio loss via Monte Carlo simulation, it is, in fact, more efficient to calculate the transformation of the distribution function in the Fourier domain instead and inverting back to the real domain can be done in just one step and semi-analytically, thanks to the popular COS method (with some adjustments). We also show that the Euler risk allocation problem can be solved in the same way since it can be transformed into the problem of evaluating a conditional cumulative distribution function. Once the conditional or unconditional cumulative distribution function is known, one can easily calculate various risk metrics. The proposed method not only fills the niche in literature, to the best of our knowledge, of accurate numerical methods for risk allocation but may also serve as a much faster alternative to the Monte Carlo simulation method for risk quantification in general. It can cope with various factor-copula model choices, which we demonstrate via examples of a two-factor Gaussian copula and a two-factor Gaussian-t hybrid copula. The fast error convergence is proved mathematically and then verified by numerical experiments, in which Value-at-Risk, Expected Shortfall, and conditional Expected Shortfall are taken as examples of commonly used risk metrics. The calculation speed and accuracy are tested to be significantly superior to the MC simulation for real-sized portfolios. The computational complexity is, by design, primarily driven by the number of factors instead of the number of obligors, as in the case of Monte Carlo simulation. The limitation of this method lies in the "curse of dimension" that is intrinsic to multi-dimensional numerical integration, which, however, can be relaxed with the help of dimension reduction techniques and/or parallel computing, as we will demonstrate in a separate paper. The potential application of this method has a wide range: from credit derivatives pricing to economic capital calculation of the banking book, default risk charge and incremental risk charge computation of the trading book, and even to other risk types than credit risk.

Keywords: credit portfolio, risk allocation, factor copula model, the COS method, Fourier method

Procedia PDF Downloads 168

Authors: Satish Y. Deodhar

Abstract:

Science without history is like a man without memory. The colossal history of India stores many ideas on economic ethics and public policy, which have been forgotten in the course of time. This paper is an attempt to bring to the fore contributions from ancient Indian treatises. In this context, the paper briefly summarizes alternative economic ideas such as communism, capitalism, and the holistic approach of ancient Indian writings. Thereafter, the idea of a welfare brick for an individual consisting of three dimensions -Purusharthas, Ashramas, and Varnas is discussed. Given the contours of the welfare brick, the concept of the state, its economic policies, markets, prices, interest rates, and credit are covered next. This is followed by delving into the treatment of land, property rights, guilds, and labour relations. The penultimate section summarises the economic advice offered to the head of a household in the treatise Shukranitisara. Finally, in concluding comments, the relevance of ancient Indian writings for modern times is discussed -both for pedagogy and economic policies.

Keywords: ancient Indian treatises, history of economic thought, science of political economy, Sanskrit

Procedia PDF Downloads 100

Authors: Mohsen Hasirian, Amir Shahab Shahabi

Abstract:

Modern societies, marked by expansive Internet connectivity and the rise of e-commerce, are now integrated with digital platforms at an unprecedented level. The efficiency, speed, and accessibility of e-commerce have garnered a substantial consumer base. Against this backdrop, electronic banking has undergone rapid proliferation within the realm of online activities. However, this growth has inadvertently given rise to an environment conducive to illicit activities, notably electronic payment fraud, posing a formidable challenge to the domain of electronic banking. A pivotal role in upholding the integrity of electronic commerce and business transactions is played by electronic fraud detection, particularly in the context of credit cards which underscores the imperative of comprehensive research in this field. To this end, our study introduces an Attentional Bi-Stream Sequence Learner (AttBiSeL) framework that leverages attention mechanisms and recurrent networks. By incorporating bidirectional recurrent layers, specifically bidirectional Long Short-Term Memory (LSTM) and Gated Recurrent Unit (GRU) layers, the proposed model adeptly extracts past and future transaction sequences while accounting for the temporal flow of information in both directions. Moreover, the integration of an attention mechanism accentuates specific transactions to varying degrees, as manifested in the output of the recurrent networks. The effectiveness of the proposed approach in automatic credit card fraud classification is evaluated on the European Cardholders' Fraud Dataset. Empirical results validate that the hybrid architectural paradigm presented in this study yields enhanced accuracy compared to previous studies.

Keywords: credit card fraud, deep learning, attention mechanism, recurrent neural networks

Procedia PDF Downloads 34

Authors: Syed Jawad Hussain Shahzad, Muhammad Zakaria, Mobeen Ur Rehman, Saniya Khaild

Abstract:

This study examines the co-movement between the Pakistan, Indian, S&P 500 and Nikkei 225 stock markets using weekly data from 1998 to 2013. The time-frequency relationship between the selected stock markets is conducted by using measures of continuous wavelet power spectrum, cross-wavelet transform and cross (squared) wavelet coherency. The empirical evidence suggests strong dependence between Pakistan and Indian stock markets. The co-movement of Pakistani index with U.S and Japanese, the developed markets, varies over time and frequency where the long-run relationship is dominant. The results of cross wavelet and wavelet coherence analysis indicate moderate covariance and correlation between stock indexes and the markets are in phase (i.e. cyclical in nature) over varying durations. Pakistan stock market was lagging during the entire period in relation to Indian stock market, corresponding to the 8~32 and then 64~256 weeks scale. Similar findings are evident for S&P 500 and Nikkei 225 indexes, however, the relationship occurs during the later period of study. All three wavelet indicators suggest strong evidence of higher co-movement during 2008-09 global financial crises. The empirical analysis reveals a strong evidence that the portfolio diversification benefits vary across frequencies and time. This analysis is unique and have several practical implications for regional and international investors while assigning the optimal weightage of different assets in portfolio formulation.

Keywords: co-movement, Pakistan stock exchange, S&P 500, Nikkei 225, wavelet analysis

Procedia PDF Downloads 358

Authors: Yih-Wenn Laih

Abstract:

In recent times, the dependence and co-movement among international financial markets have become stronger than in the past, as evidenced by commentaries in the news media and the financial sections of newspapers. Studying the co-movement between returns in financial markets is an important issue for portfolio management and risk management. The realization of co-movement helps investors to identify the opportunities for international portfolio management in terms of asset allocation and pricing. Since the election of the new Prime Minister, Shinzo Abe, in November 2012, the yen has weakened against the US dollar from the 80 to the 120 level. The policies, known as “Abenomics,” are to encourage private investment through a more aggressive mix of monetary and fiscal policy. Given the close economic relations and competitions among Asia markets, it is interesting to discover the co-movement relations, affected by the depreciation of yen, between stock market of Japan and 5 major Asia stock markets, including China, Hong Kong, Korea, Singapore, and Taiwan. Specifically, we devote ourselves to measure the co-movement of stock markets between Japan and each one of the 5 Asia stock markets in terms of rank correlation coefficients. To compute the coefficients, return series of each stock market is first fitted by a skewed-t GARCH (generalized autoregressive conditional heteroscedasticity) model. Secondly, to measure the dependence structure between matched stock markets, we employ the symmetrized Joe-Clayton (SJC) copula to calculate the probability density function of paired skewed-t distributions. The joint probability density function is then utilized as the scoring scheme to optimize the sequence alignment by dynamic programming method. Finally, we compute the rank correlation coefficients (Kendall's  and Spearman's ) between matched stock markets based on their aligned sequences. We collect empirical data of 6 stock indexes from Taiwan Economic Journal. The data is sampled at a daily frequency covering the period from January 1, 2013 to July 31, 2015. The empirical distributions of returns indicate fatter tails than the normal distribution. Therefore, the skewed-t distribution and SJC copula are appropriate for characterizing the data. According to the computed Kendall’s τ, Korea has the strongest co-movement relation with Japan, followed by Taiwan, China, and Singapore; the weakest is Hong Kong. On the other hand, the Spearman’s ρ reveals that the strength of co-movement between markets with Japan in decreasing order are Korea, China, Taiwan, Singapore, and Hong Kong. We explore the effects of “Abenomics” on Asia stock markets by measuring the co-movement relation between Japan and five major Asia stock markets in terms of rank correlation coefficients. The matched markets are aligned by a hybrid method consisting of GARCH, copula and sequence alignment. Empirical experiments indicate that Korea has the strongest co-movement relation with Japan. The strength of China and Taiwan are better than Singapore. The Hong Kong market has the weakest co-movement relation with Japan.

Keywords: co-movement, depreciation of Yen, rank correlation, stock market

Procedia PDF Downloads 231