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Measuring Alpha in the Fund Management Industry: Do Female Managers Perform Better?

Babalos, Vassilis; Caporale, Guglielmo Maria; … - CESifo - 2013

This paper examines the performance of 358 European diversified equity mutual funds controlling for gender differences …. Fund performance is evaluated against funds’ designated market indices and representative style portfolios. Consistently … with previous studies, no significant differences in performance and risk are found between female and male managed funds …

Persistent link: https://www.econbiz.de/10010667412

Why do Foreign Banks Withdraw from other Countries? A Panel Data Analysis

Hryckiewicz, Aneta; Kowalewski, Oskar - CESifo - 2010

problems in the home country, with a lesser factor being the weak performance of the foreign subsidiary. …

Persistent link: https://www.econbiz.de/10008583673

Credit Derivates and the Default Risk of Large Complex Financial Institutions

Calice, Giovanni - 2013

This paper addresses the impact of developments in the credit risk transfer market on the viability of a group of systemically important financial institutions. We propose a bank default risk model, in the vein of the classic Merton-type, which utilizes a multi-equation framework to model...

Persistent link: https://www.econbiz.de/10013092380

Financial Stability in Europe : Banking and Sovereign Risk

Bruha, Jan - 2017

We analyze the link between banking sector quality and sovereign risk in the whole European Union over 1999–2014. We employ four different indicators of sovereign risk (including market- and opinion-based assessments), a rich set of theoretically and empirically motivated banking sector...

Persistent link: https://www.econbiz.de/10012955275

Unexpected Loan Losses and Bank Capital in an Estimated DSGE Model of the Euro Area

Hristov, Nikolay - 2016

We develop a stylized DSGE model in which banks face capital regulation and their loan portfolios are subject to non-diversifiable losses due to aggregate shocks. The framework is used to explore the importance of the interaction between macroeconomic conditions, credit default and bank...

Persistent link: https://www.econbiz.de/10012978077

Foreign Currency Loans and Credit Risk : Evidence from U.S. Banks

Niepmann, Friederike - 2020

When firms borrow in foreign currency but collect revenues in local currency, exchange rate changes can affect their ability to repay their debt. Using loan-level data from U.S. banks' regulatory filings, this paper studies the effect of exchange rate changes on firms' loan payments. A 10...

Persistent link: https://www.econbiz.de/10012853395

Loan Loss Provision : Some Empirical Evidence for Italian Banks

Caporale, Guglielmo Maria - 2015

This paper uses data from a panel of more than 400 Italian banks for the period 2001-2012 to examine the main determinants of loan loss provision (LLP), which are classified as either discretionary (income smoothing, capital management, signalling) or non-discretionary (related to the business...

Persistent link: https://www.econbiz.de/10013024740

EU Banks Rating Assignments : Is there Heterogeneity between New and Old Member Countries?

Caporale, Guglielmo Maria - 2013

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our aim is to assess whether “old” and “new” EU countries are rated differently and to determine whether “new” ones are assigned lower ratings, ceteris paribus, than...

Persistent link: https://www.econbiz.de/10013094667

Default Predictors and Credit Scoring Models for Retail Banking

Kočenda, Evžen - 2013

This paper develops a specification of the credit scoring model with high discriminatory power to analyze data on loans at the retail banking market. Parametric and non- parametric approaches are employed to produce three models using logistic regression (parametric) and one model using...

Persistent link: https://www.econbiz.de/10013095290

Portfolio Sales and Signaling

Bougheas, Spiros - 2017

A common practice of banks has been to pool assets of different qualities and then sell a fraction of the newly created portfolios to investors. We extend the signaling model for single sales of risky assets to portfolio sales. We identify conditions under which signaling at the portfolio level...

Persistent link: https://www.econbiz.de/10012960474

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