Showing papers by "Alistair Milne published in 2011"
TL;DR: In this paper, the relationship between short-term capital buffer and portfolio risk adjustments is investigated and it is shown that the management of such adjustments is dependent on the degree of bank capitalization.
265 citations
TL;DR: The authors examined the role of certain fair value accounting (FVA) outcomes in compensation of US bank CEOs and found evidence consistent with a positive link between CEO cash bonus and fair value (FV) valuation of trading assets, managed for short-term profit.
Abstract: This paper examines the role of certain fair value accounting (FVA) outcomes in compensation of US bank CEOs The use of FVA in compensation invites an agency cost – the clawback problem - if cash compensation is based on unrealized profits that may reverse in the future At the same time FVA may be a good measure of current managerial effort and so be cash compensated We find evidence consistent with a positive link between CEO cash bonus and fair value (FV) valuation of trading assets, managed for short-term profit, as well as (amongst banks with limited trading exposure) a positive link between CEO pay and FV valuations of available for sale (AFS) assets We find no evidence that trading income is incrementally compensation relevant, indicating that compensation committees avoided the clawback problem for unrealized trading gains The paper also provides evidence on the link between FVA outcomes and equity-based pay
41 citations
TL;DR: This paper examined the role of certain fair value accounting (FVA) outcomes in compensation of US bank CEOs and found evidence consistent with a positive link between CEO cash bonus and fair value (FV) valuation of trading assets, managed for short-term profit, and found no evidence that trading income is incrementally compensation relevant, indicating that compensation committees avoided the clawback problem for unrealized trading gains.
37 citations
TL;DR: The current banking crisis has reminded us of how risks materialising in one part of the financial system can have a widespread impact, affecting other financial markets and institutions and the broader economy as discussed by the authors.
Abstract: The current banking crisis has reminded us of how risks materialising in one part of the financial system can have a widespread impact, affecting other financial markets and institutions and the broader economy. This paper, prepared on behalf of the Actuarial Profession, examines how such events have an impact on the entire financial system and explores whether such disturbances may arise within the insurance and pensions sectors as well as within banking. The paper seeks to provide an overview of a number of banking and other financial crises which have occurred in the past, illustrated by four case studies. It discusses what constitutes a systemic event and what distinguishes it from a large aggregate system wide shock. Finally, it discusses how policy-makers can respond to the risk of such systemic financial failures.
32 citations
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TL;DR: The Central Bank of Ireland and SUERF organised a joint conference in Dublin on 20th September, 2010 on the general theme of Regulation and Banking after the crisis as discussed by the authors, which included papers and presentations from the three main constituency of SUFERF: central banks, academics, and financial practitioners.
Abstract: The Central Bank of Ireland and SUERF organised a joint conference in Dublin on 20th September, 2010 on the general theme of Regulation and Banking after the Crisis. In the best traditions of SUERF, the programme included papers and presentations from the three main constituencies of SUERF: Central Banks (including notably the Governor of the Central Bank of Ireland), academics, and financial practitioners. As always, the papers illuminated some of the different perspectives of the three constituencies. We are grateful to the many distinguished contributors who were prepared to make powerful contributions to the conference.
9 citations
TL;DR: In this paper, the authors suggest that market disciplines can be made effective through issue of "limited liability" debt (debt with a maximum debt service obligation as a proportion of GDP), together with rules constraining bank holdings of government debt and maturity structure, and a senior liquidity facility.
Abstract: The Maastricht treaty, notably the article 103 prohibition on 'bail-outs', gave a prominent role to market disciplines on fiscal policy. These were not effective, failing to prevent the Euro area government debt crisis. This article suggests that these market disciplines can be made effective through issue of 'limited liability' debt (debt with a maximum debt service obligation as a proportion of GDP), together with rules constraining bank holdings of government debt and maturity structure, and a senior liquidity facility. This proposal is supported by analysis of fiscal arrangements within single currency areas and of emerging market sovereign debt restructuring. (JEL codes: E42, E62, H6 and H87) Copyright The Author 2011. Published by Oxford University Press on behalf of Ifo Institute for Economic Research, Munich. All rights reserved. For permissions, please email: journals.permissions@oup.com, Oxford University Press.
7 citations
TL;DR: In this paper, Besar et al. present a systemic risk in financial services abstract of the London Discussion on Systemic Risk in Financial Services (LDS), which is based on the British Actuarial Journal (BAL).
Abstract: This abstract relates to the following paper:BesarD., BoothP., ChanK.K., MilneA.K.L. & PicklesJ.Systemic risk in financial services ‐ Abstract of the London Discussion. British Actuarial Journal, doi:10.1017/S1357321711000110
1 citations
TL;DR: In this article, Besar D.K., Booth P., Chan K.K., Milne A.L. and Pickles J.K have discussed the systemic risk in financial services.
Abstract: This abstract relates to the following paper: Besar D. , Booth P. , Chan K.K. , Milne A.K.L. & Pickles J. Systemic risk in financial services ‐ Abstract of the Edinburgh Discussion . British Actuarial Journal , doi: 10.1017/S1357321711000110 .