http://www.bis.org/list/papers/index.rss Research papers from the Bank for International Settlements, including the Quarterly Review, BIS Papers and BIS Working Papers series. en http://www.bis.org/publ/work370.htm Abstract of BIS Working Papers No 370 Credit at times of stress: Latin American lessons from the global financial crisis 2012-02-07T10:13:00Z We critically review the state of the art in macro stress testing, assessing its strengths and weaknesses. We argue that, given current technology, macro stress tests are ill-suited as early warning devices, ie as tools for identifying vulnerabilities during seemingly tranquil times and for triggering remedial action. By contrast, as long as properly designed, stress tests can be quite effective as crisis management and resolution tools. We also see additional side benefits, stemming largely from the way such tests can discipline thinking about financial stability. We suggest possible ways to improve their performance. Credit at times of stress: Latin American lessons from the global financial crisis 2012-02-07T10:13:00Z BIS Latin America currency mismatches emerging markets credit growth global financial crises vulnerability indicators financial resilience PDF version http://www.bis.org/publ/work370.pdf Carlos Montoro Montoro Mr Senior Economist Bank for International Settlements Liliana Rojas-Suarez Rojas-Suarez Ms Carlos Montoro and Liliana Rojas-Suarez 7 Feb 2012 Bank for International Settlements: Working Papers 370 E65 G2 http://www.bis.org/publ/bppdf/bispap63.htm The Bank for International Settlements (BIS) and the Bank of Japan (BOJ) jointly organised a high-level seminar on "The development of regional capital markets" in Yokohama, Japan, on 21-22 November 2011. The seminar brought together senior officials of 12 central banks in Asia and the Pacific, the European Central Bank, the Bank of Mexico, the Bank of England and the Federal Reserve Bank of New York, as well as an academic and a private sector participant. Masaaki Shirakawa, Governor of the BOJ and Chair of the Asian Consultative Council of the BIS, and Jaime Caruana, General Manager of the BIS, delivered welcoming remarks. The seminar consisted of five sessions on (1) development of domestic bond markets; (2) development of off-shore bond markets; (3) credit derivatives and structured finance in Asia and the Pacific; (4) credit rating agencies; and (5) market liquidity. It concluded with a panel discussion on the impact of capital flows on bond market development in Asia. This volume is a collection of the welcoming remarks, a paper based on the background note for the seminar, a paper on domestic bond markets in emerging market economies, and a paper on local currency bond markets and the Asian Bond Fund 2 Initiative. The last paper served as a basis for the panel discussion by Jaime Caruana at the seminar. Weathering financial crises: bond markets in Asia and the Pacific 2012-01-31T09:57:00Z The Bank for International Settlements (BIS) and the Bank of Japan (BOJ) jointly organised a high-level seminar on "The development of regional capital markets" in Yokohama, Japan, on 21-22 November 2011. The seminar brought together senior officials of 12 central banks in Asia and the Pacific, the European Central Bank, the Bank of Mexico, the Bank of England and the Federal Reserve Bank of New York, as well as an academic and a private sector participant. Masaaki Shirakawa, Governor of the BOJ and Chair of the Asian Consultative Council of the BIS, and Jaime Caruana, General Manager of the BIS, delivered welcoming remarks. The seminar consisted of five sessions on (1) development of domestic bond markets; (2) development of off-shore bond markets; (3) credit derivatives and structured finance in Asia and the Pacific; (4) credit rating agencies; and (5) market liquidity. It concluded with a panel discussion on the impact of capital flows on bond market development in Asia. This volume is a collection of the welcoming remarks, a paper based on the background note for the seminar, a paper on domestic bond markets in emerging market economies, and a paper on local currency bond markets and the Asian Bond Fund 2 Initiative. The last paper served as a basis for the panel discussion by Jaime Caruana at the seminar. Weathering financial crises: bond markets in Asia and the Pacific 2012-01-31T09:57:00Z BIS PDF version http://www.bis.org/publ/bppdf/bispap63.pdf 31 Jan 2012 Bank for International Settlements: BIS Papers 63 http://www.bis.org/publ/work369.htm Abstract of BIS Working Papers No 369 Stress-testing macro stress testing: does it live up to expectations? 2012-01-18T11:02:00Z We critically review the state of the art in macro stress testing, assessing its strengths and weaknesses. We argue that, given current technology, macro stress tests are ill-suited as early warning devices, ie as tools for identifying vulnerabilities during seemingly tranquil times and for triggering remedial action. By contrast, as long as properly designed, stress tests can be quite effective as crisis management and resolution tools. We also see additional side benefits, stemming largely from the way such tests can discipline thinking about financial stability. We suggest possible ways to improve their performance. Stress-testing macro stress testing: does it live up to expectations? 2012-01-18T11:02:00Z BIS macroprudential financial instability PDF version http://www.bis.org/publ/work369.pdf Claudio Borio Borio Mr Head of Research & Policy Analysis Bank for International Settlements Mathias Drehmann Drehmann Mr Senior Economist Bank for International Settlements Kostas Tsatsaronis Tsatsaronis Mr Head of Financial Institutions & Infrastructure Bank for International Settlements Claudio Borio, Mathias Drehmann and Kostas Tsatsaronis 18 Jan 2012 Bank for International Settlements: Working Papers 369 G20 E30 G10 G28 E44 http://www.bis.org/publ/cpss100.htm Abstract of "Report on OTC derivatives data reporting and aggregation requirements - final report", January 2012 Report on OTC derivatives data reporting and aggregation requirements - final report 2012-01-17T09:00:00Z The Committee on Payment and Settlement Systems (CPSS) and the Technical Committee of the International Organization of Securities Commissions (IOSCO) have published their final report on the OTC derivatives data that should be collected, stored and disseminated by trade repositories (TRs). Report on OTC derivatives data reporting and aggregation requirements - final report 2012-01-17T09:00:00Z BIS PDF version http://www.bis.org/publ/cpss100.pdf 17 Jan 2012 Bank for International Settlements: CPSS Publications 100 http://www.bis.org/publ/bppdf/bispap62.htm The financial crisis has demonstrated the need to better understand the complex interactions between the financial system and the real economy. While stability has become the main focus of the regulatory changes, the implications for growth and equity are also important. To think through these issues and provide an emerging market perspective, CAFRAL, in collaboration with the Bank for International Settlements, organised an international conference of central banks and regulators on "Financial regulation and its implications for growth equity and stability in the post crisis world" in Mumbai on 15th and 16th November 2011. Several international experts and 26 representatives from 21 central banks/regulators joined Reserve Bank of India's Governor Duvvuri Subbarao and BIS General Manager Jaime Caruana at this conference. This volume is a collection of the speeches, papers and summaries of discussions in the conference. Financial sector regulation for growth, equity and stability 2012-01-11T19:12:00Z The financial crisis has demonstrated the need to better understand the complex interactions between the financial system and the real economy. While stability has become the main focus of the regulatory changes, the implications for growth and equity are also important. To think through these issues and provide an emerging market perspective, CAFRAL, in collaboration with the Bank for International Settlements, organised an international conference of central banks and regulators on "Financial regulation and its implications for growth equity and stability in the post crisis world" in Mumbai on 15th and 16th November 2011. Several international experts and 26 representatives from 21 central banks/regulators joined Reserve Bank of India's Governor Duvvuri Subbarao and BIS General Manager Jaime Caruana at this conference. This volume is a collection of the speeches, papers and summaries of discussions in the conference. Financial sector regulation for growth, equity and stability 2012-01-11T19:12:00Z BIS PDF version http://www.bis.org/publ/bppdf/bispap62.pdf 11 Jan 2012 Bank for International Settlements: BIS Papers 62 http://www.bis.org/publ/bppdf/bispap61.htm On 19-20 March 2009, the BIS Asian Office and the Bank of Korea co-hosted a high-level seminar on currency internationalisation in Seoul. Participants from 12 central banks as well as academic scholars and BIS economists attended the seminar. The purpose of the seminar was to review experiences of economies in the Asia-Pacific region with currency internationalisation and to assess the prospects for further internationalisation, emphasising the policy implications facing central banks if current trends continue. Lessons learned about currency internationalisation since the intensification of the strains in global markets in mid-2007 were also discussed. This volume is a collection of the speeches, presentations and papers from the seminar. Currency internationalisation: lessons from the global financial crisis and prospects for the future in Asia and the Pacific 2012-01-11T13:58:00Z Since its launch in September 2006, the Asian Research Programme has focused on policy-oriented studies for central banks and supervisory authorities in the Asia-Pacific region. Under the programme, the BIS Representative Office for Asia and the Pacific has co-organised a series of conferences, seminars and workshops with central banks and supervisory authorities in Asia and the Pacific. The subjects of interest have included improving monetary policy and operations, developing financial markets, maintaining financial stability and strengthening prudential policy. On 19-20 March 2009, the BIS Asian Office and the Bank of Korea co-hosted a high-level seminar on currency internationalisation in Seoul. Participants from 12 central banks as well as academic scholars and BIS economists attended the seminar. The purpose of the seminar was to review experiences of economies in the Asia-Pacific region with currency internationalisation and to assess the prospects for further internationalisation, emphasising the policy implications facing central banks if current trends continue. Lessons learned about currency internationalisation since the intensification of the strains in global markets in mid-2007 were also discussed. This volume is a collection of the speeches, presentations and papers from the seminar. Currency internationalisation: lessons from the global financial crisis and prospects for the future in Asia and the Pacific 2012-01-11T13:58:00Z BIS PDF version http://www.bis.org/publ/bppdf/bispap61.pdf 11 Jan 2012 Bank for International Settlements: BIS Papers 61 G01 D14 G28 E21 E52 http://www.bis.org/publ/cpss99.htm Abstract of "Statistics on payment, clearing and settlement systems in the CPSS countries - Figures for 2010", published by the Committee on Payment and Settlement Systems (CPSS), January 2012. Statistics on payment, clearing and settlement systems in the CPSS countries - Figures for 2010 2012-01-04T10:50:00Z This version of the statistical update contains data for 2010 and earlier years. There are detailed tables for each individual country as well as a number of comparative tables. Statistics on payment, clearing and settlement systems in the CPSS countries - Figures for 2010 2012-01-04T10:50:00Z BIS retail transactions retail payment CPSS PDF version http://www.bis.org/publ/cpss99.pdf 4 Jan 2012 Bank for International Settlements: CPSS Publications 99 http://www.bis.org/publ/work368.htm Abstract of BIS Working Papers No 368 The sustainability of pension schemes 2012-01-03T08:38:00Z Poor financial market returns and low long-term real interest rates in recent years have created challenges for the sponsors of defined benefit pension schemes. At the same time, lower payroll tax revenues in a period of high unemployment, and rising fiscal deficits in many advanced economies as economic activity has fallen, are also testing the sustainability of pay-as-you-go public pension schemes. Amendments to pension accounting rules that require corporations to regularly report the valuation differences between their defined benefit pension assets and plan liabilities on their balance sheet have made investors more aware of the pension risk exposure for the sponsors of such schemes. This paper sheds light on what effects these developments are having on the design of occupational pension schemes, and also provides some estimates for the post-employment benefits that could be delivered by these schemes under different sets of assumptions. The paper concludes by providing some policy perspectives. The sustainability of pension schemes 2012-01-03T08:38:00Z BIS pension funds contribution rates long-term real interest rates real wages service cost sovereign liabilities mortality rates pay-as-you-go schemes PDF version http://www.bis.org/publ/work368.pdf Srichander Ramaswamy Ramaswamy Mr Senior Economist Bank for International Settlements Srichander Ramaswamy 3 Jan 2012 Bank for International Settlements: Working Papers 368 G23 J32 H55 http://www.bis.org/publ/bcbs214.htm Abstract of "Application of own credit risk adjustments to derivatives - consultative document", December 2011. A deterioration in a bank's own creditworthiness can lead to an increase in the bank's common equity as a result of a reduction in the value of its liabilities. The Basel III rules seek to prevent this. Paragraph 75 of the Basel III rules requires a bank to "[d]erecognise in the calculation of Common Equity Tier 1, all unrealised gains and losses that have resulted from changes in the fair value of liabilities that are due to changes in the bank's own credit risk". The application of paragraph 75 to fair valued derivatives is not straightforward since their valuations depend on a range of factors other than the bank's own creditworthiness. The consultative paper proposes that debit valuation adjustments (DVAs) for over-the-counter derivatives and securities financing transactions should be fully deducted in the calculation of Common Equity Tier 1. It briefly reviews other options for applying the underlying concept of paragraph 75 to these products and the reasons these alternatives were not supported by the Basel Committee. Application of own credit risk adjustments to derivatives - consultative document 2011-12-21T10:00:00Z A deterioration in a bank's own creditworthiness can lead to an increase in the bank's common equity as a result of a reduction in the value of its liabilities. The Basel III rules seek to prevent this. Paragraph 75 of the Basel III rules requires a bank to "[d]erecognise in the calculation of Common Equity Tier 1, all unrealised gains and losses that have resulted from changes in the fair value of liabilities that are due to changes in the bank's own credit risk". The application of paragraph 75 to fair valued derivatives is not straightforward since their valuations depend on a range of factors other than the bank's own creditworthiness. The consultative paper proposes that debit valuation adjustments (DVAs) for over-the-counter derivatives and securities financing transactions should be fully deducted in the calculation of Common Equity Tier 1. It briefly reviews other options for applying the underlying concept of paragraph 75 to these products and the reasons these alternatives were not supported by the Basel Committee. Application of own credit risk adjustments to derivatives - consultative document 2011-12-21T10:00:00Z BIS Debit valuation adjustments DVA PDF version http://www.bis.org/publ/bcbs214.pdf 21 Dec 2011 Bank for International Settlements: BCBS Publications http://www.bis.org/publ/bcbs213.htm Abstract of "Core principles for effective banking supervision - consultative document", December 2011. Both the existing Core Principles and the associated assessment methodology have served their purpose well in terms of helping countries to assess their supervisory systems and identify areas for improvement. While conscious efforts were made to maintain continuity and comparability as far as possible, the Committee has merged the Core Principles and the assessment methodology into a single comprehensive document. The revised set of twenty-nine Core Principles have also been reorganised to foster their implementation through a more logical structure, highlighting the difference between what supervisors do themselves and what they expect banks to do Core principles for effective banking supervision - consultative document 2011-12-20T09:00:00Z Both the existing Core Principles and the associated assessment methodology have served their purpose well in terms of helping countries to assess their supervisory systems and identify areas for improvement. While conscious efforts were made to maintain continuity and comparability as far as possible, the Committee has merged the Core Principles and the assessment methodology into a single comprehensive document. The revised set of twenty-nine Core Principles have also been reorganised to foster their implementation through a more logical structure, highlighting the difference between what supervisors do themselves and what they expect banks to do. Core principles for effective banking supervision - consultative document 2011-12-20T09:00:00Z BIS supervisory practice core principles methodology basel core principles PDF version http://www.bis.org/publ/bcbs213.pdf 20 Dec 2011 Bank for International Settlements: BCBS Publications http://www.bis.org/publ/joint27.htm Abstract of Joint Forum publication "Principles for the supervision of financial conglomerates - consultative document", December 2011. Principles for the supervision of financial conglomerates - consultative document 2011-12-19T11:00:00Z Principles for the supervision of financial conglomerates - consultative document 2011-12-19T11:00:00Z BIS group-wide supervision supervisory coordination supervisory power PDF version http://www.bis.org/publ/joint27.pdf 19 Dec 2011 Bank for International Settlements: BCBS Publications http://www.bis.org/publ/bcbs212.htm Abstract of "Definition of capital disclosure requirements - consultative document", December 2011 Definition of capital disclosure requirements - consultative document 2011-12-19T09:06:00Z Definition of capital disclosure requirements - consultative document 2011-12-19T09:06:00Z BIS disclosure basel iii Definition of capital PDF version http://www.bis.org/publ/bcbs212.pdf 19 Dec 2011 Bank for International Settlements: BCBS Publications http://www.bis.org/publ/bppdf/bispap60.htm Abstract of "Macroprudential regulation and policy", proceedings of a joint conference organised by the BIS and the Bank of Korea, Seoul, 17-18 January 2011. Macroprudential regulation and policy 2011-12-16T17:21:00Z The Bank for International Settlements (BIS) and the Bank of Korea (BoK) jointly organised a conference on macroprudential regulation and policy in Seoul, Korea, on 16-18 January 2011. The conference aimed to bring academics together with researchers at central banks and other public institutions to present and discuss ongoing theoretical and empirical work in the field. In response to their call for papers, the organisers received more than 75 submissions from central banks, public agencies, supranational organisations and academic institutions. From these, a selection committee from the BIS and the BoK chose 12 papers organised around the following four themes: (i) systemic risk; (ii) financial system procyclicality; (iii) macroeconomic impact studies and early warning indicators; and (iv) effective implementation of macroprudential policy. Macroprudential regulation and policy 2011-12-16T17:21:00Z BIS PDF version http://www.bis.org/publ/bppdf/bispap60.pdf 16 Dec 2011 Bank for International Settlements: BIS Papers 60 G01 D14 G28 E21 E52 http://www.bis.org/publ/work367.htm Abstract of BIS Working Papers No 367 Is the long-term interest rate a policy victim, a policy variable or a policy lodestar? 2011-12-16T13:17:00Z Few financial variables are more fundamental than the "risk free" real long-term interest rate because it prices the terms of exchange over time. During the past 15 years, it has dropped from a range of 4 to 5% to a range of 0 to 2%. By late 2011, cyclical factors had driven it close to zero. This paper explores why. Possible persistent factors are: the investment of the large savings generated by developing Asia in highly-rated bonds; accounting and valuation rules for institutional investment; and financial sector regulation. The consequences could be far-reaching: cheaper leverage; less pressure to correct fiscal deficits; larger interest rate exposures in the financial industry; and a more cyclical bond market. During the financial crisis, central banks in the advanced countries have made the long-term interest rate a policy variable as Keynes had always advocated. This policy focus will draw more attention to the macroeconomic and financial consequences of government debt management policies. Coordination between central bank balance sheet policies and government debt management is essential. With government debt very high for years to come, bond market volatility could confront central banks with unenviable choices. Is the long-term interest rate a policy victim, a policy variable or a policy lodestar? 2011-12-16T13:17:00Z BIS bond market central banks financial regulation government debt management Long-term interest rate PDF version http://www.bis.org/publ/work367.pdf Philip Turner Turner Mr Director of Policy, Coordination and Administration and Deputy Head of Department Bank for International Settlements Philip Turner 16 Dec 2011 Bank for International Settlements: Working Papers 367 E12 G18 H63 E58 E43 http://www.bis.org/publ/bcbs_nl16.htm Abstract of Basel Committee Newsletter No.16 on "High cost credit protection", December 2011 High cost credit protection 2011-12-16T09:50:00Z High cost credit protection 2011-12-16T09:50:00Z BIS securitisation risk mitigation credit protection premia, significant risk transfer Pillar 2 16 Dec 2011 Bank for International Settlements: Basel Committee newsletter 16