This study extends the literature on the determinants of NPL. I investigate whether banks anticipate non-performing loans by making balance sheet adjustments. This study draws insights into the actions taken by credit risk management teams and bank managers to minimize the size of non-performing...

By using data from 8 depository institutions in Turkey we evaluate the drivers of securitization between 2004 and 2009. Our analysis shows that previous period securitization as well as bank equity, level of profits and asset size are important factors in a bank’s decision to securitize its...

We discuss linear regression approaches to conditional Value-at-Risk and Average Value-at-Risk (Conditional Value-at-Risk, Expected Shortfall) risk measures. Two estimation procedures are considered for each conditional risk measure, one is direct and the other is based on residual analysis of...

In the paper, I simulate the games with a joint presence of 95% VaR-rule and return-rule groups of agents in the game. Simulations highlighted the level of omniscience, next being the rule, which agents follow at the decision-making, and the third the presence of liquidity agents in the game....

Practically, there is no human activity without being connected with some form of risk. A complexity of the activity is in a close connection with the risk level and, as a rule, the greater complexity leads to a greater risk. The importance of risk is stressed to a large extent in some sectors,...

Regulators have traditionally used simple models to measure the capital adequacy of banks. The growing internationalisation and universalisation of banking operations have meant that the same is no longer possible, as banks face increasing, and increasingly opaque, market risk. The significance...

Time series of obligations with the public are important to liquidity risk management in emerging economies, but a traditional parametric VaR model could give imprecise measures of liquidity risk if the series do not approach a normal (Gaussian) distribution. To overcome this flaw of parametric...

This paper introduces crowdfunding as a concept and model for the evolution of investment banking. Crowdfunding, an application of crowdsourcing, is defined as one party’s attempt to finance a project by offering three types of investment opportunities to potential investors. The investment...

The paper studies the impact of different time-scales on the market risk of individual stock market returns and of a given portfolio in Paris Stock Market by applying the wavelet analysis. To investigate the scaling properties of stock market returns and the lead/lag relationship between them at...

The aim of this article is to identify systemically important banks on a European scale, in accordance with the criteria proposed by the supervisory authorities. In this study we discuss the analytical framework for identifying and benchmarking systemically important financial institutions. An...