An Empirical Model for Assesing Risk and Performance in the Romanian Banking System

The bank management must decide the proportion placed in different assets and liabilities in order to achieve the desired profitability level and to respect the liquidity, solvency and prudential requirements. Regarding these proportions, the objective of our article is to present a framework for modeling the risk-efficiency relationship for the Romanian banking system. To test the relationship between risk and performance we have performed the Granger causality test and the Vector Autoregressive representation for several risk and profitability variables of the Romanian banks. The result revealed significant causalities between risk and performance ratios in the 2007-2010 period.

MoreLess

Year of publication:	2011
Authors:	TRENCA, Ioan ; MUTU, Simona
Published in:	Finante - provocarile viitorului (Finance - Challenges of the Future). - Facultatea de Economie şi Administrarea Afacerilor, ISSN 1583-3712. - Vol. 1.2011, 13, p. 89-95
Publisher:	Facultatea de Economie şi Administrarea Afacerilor
Subject:	bank performance \| VAR models \| Granger causality

freely available

Full text |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Extent:	application/pdf
Type of publication:	Article
Classification:	G20 - Financial Institutions and Services. General ; G21 - Banks; Other Depository Institutions; Mortgages ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010819474