Credit risk is crucial to understanding banks' production technology and should be explicitly accounted for when modeling the latter. The banking literature has largely accounted for risk by using ex-post realizations of banks' uncertain outputs and the variables intended to capture risk. This...

Using quarterly financial statements and stock market data from 1982 to 2010 for the six largest Canadian chartered banks, this paper documents positive co-movement between Canadian banks’ capital buffer and business cycles. The adoption of Basel Accords and the balance sheet leverage cap...

Following Taleb/Tapiero (2009) , the hypotheses are contrasted based on partial information of firms had losses (including external risk factors); the policy implications of this analysis are projected after evaluating two fundamental issues that continue to preoccupy the public opinion: how...

First externalities risk due to the size of the companies or the principle that large companies are also at risk of bankruptcy (too big to fail) are examined. The problem is illustrated by a case in which extreme risks with negative consequences for savers and investors are taken. If we...

This study investigates the validity of Capital Asset Pricing (CAP) Model in Karachi stock exchange (KSE). The data of 387 companies of 30 different sectors on monthly, quarterly and semiannual basis are used. The Paired sample t- test is applied to find the difference between actual and...

In this paper, we try to build an efficient portfolio among four possible portfolios based on the some 31 Casablanca listed shares. Our analysis concerns the risk which arises from the Markowitz mean-variance approach. Our work method will be implemented as following: first of all, we will test...

The management of financial risks, which is a branch of financial theory, is defined as a process that begins with risk factors identification, continues with measurement of risk and concludes with the coverage of that risk. This work focuses on the second phase of management process, namely the...

As reaction from market inefficient specified about information distribution, all market participant trying to reduce the effect with various means, among other things by perceiving historical behavior of share price. One of result namely contrarian strategy by believing that loser portfolio...

Cropping pattern refers to the percentage of acreage occupied by various crops within the crop rotation. It is determined through cultivated' area assigned to each crop according to the sequence system necessitated by crop rotation considerations. The optimum crop pattern is the one, which...

After the 2008 events that occurred in world financial markets, all organizations have increased interest in risk management. It is very clear that risk management brings benefits to the organization. By taking a proactive approach to risk and risk management, organizations will be able to...