This paper analyzes the impact of US firms’ equity risk on bank lending standards and on the macroeconomy for two groups: small and medium-large firms. The results indicate that a higher level of firm risk leads to a higher percentage of banks tightening their lending standards on commercial...

Like most of International Institutions, the Central Bank of West African States (BCEAO) considers universal access to finance as key to empowering disadvantaged people. Fitting into that context, this study aims to assess the accelerating role of digital technologies using mobile phone...

We study Aumann and Serrano's (2008) risk index for sums of gambles that are not dependent. If the dependent parts are similarly ordered, then the risk index of the sum is always larger than the minimum of the risk indices of the two gambles. For negative dependence, the risk index of the sum is...

This paper examines “fat tails puzzle” in the financial markets. Ignoring the rate of convergence in Central Limit Theorem (CLT) provides the “fat tail” uncertainty. In this paper, we provide a review of the empirical results obtained “fat tails puzzle” using innovative method of...

The purpose of this study is to assess model risk with respect to parameter estimation for a simple binary logistic regression model applied as a predictive model. The assessment is done by comparing the effectiveness of eleven different parameter estimation methods. The results from the...

The central function of a bank inherently exposes it to various financial risks where each of these risks has the possibility to influence stakeholders' perception. This perception, which is linked to the trustworthiness, credibility and performance of the bank, translates into the reputation of...

Understanding how defaults correlate across firms is a persistent concern in risk management. In this paper, we apply covariate-dependent copula models to assess the dynamic nature of credit risk dependence, which we define as "credit risk clustering". We also study the driving forces of the...

The study investigates the influence of foreign institutional investment on the risk-return profile of firms. Corporate risk is analyzed as business risk and financial risk in this study. The impact of foreign institutional investor's (FII) holding on business and financial risk taking behavior...

This study explores the influence of funding liquidity risk and several control variables on Islamic rural banks’ asset risk in Indonesia. Our study analyzes Islamic rural banks comprising 142 Islamic banks with quarterly data from 2013: Q1 to 2018: Q4. Panel regression is then employed. We...

Examining China's stock market, mean variance is used to measure returns and risk and build an irrational risk-asset pricing model. The power of heterogeneous beliefs and risk-valuation deviation are found to affect capital asset pricing, presenting excessive fluctuations that neoclassical...