Showing 1 - 10 of 13
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...
Persistent link: https://www.econbiz.de/10013462030
This paper proposes and examines a new structural risk of default model for banks in frictional and fuzzy financial markets. It is motivated by the need to fill the shortcomings of probability-based credit risk metric models that are characterised by unrealistic assumptions such as crisply...
Persistent link: https://www.econbiz.de/10014500369
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...
Persistent link: https://www.econbiz.de/10012149200
The impetus for this paper came after the financial crisis of 2007-2008, its global consequences and specifically how incomplete information "information asymmetry" between local banks and regulators extremely affected the banking sector. Financial institutions and regulators are-from a...
Persistent link: https://www.econbiz.de/10012023070
In recent years, financial institutions especially universal/commercial banks across Africa have been faced with forceful mergers and acquisitions. These occurrences impede the level of financial inclusion and reduces public confidence in the financial system as a whole. This study assessed the...
Persistent link: https://www.econbiz.de/10012023369
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...
Persistent link: https://www.econbiz.de/10012024047
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...
Persistent link: https://www.econbiz.de/10013461059
Considered among of the main causes of the 2007 financial crisis, the credit risk transfer activities deserve nowadays particular attention. This study discusses the continuous effectiveness of the credit risk transfer activities by investigating their effects on the bank risk, liquidity and...
Persistent link: https://www.econbiz.de/10013435725
This study aims to analyze the effect of the financial health of Indonesian commercial banks on financial performance with good corporate governance as an intervening variable. This study utilizes the risk-based bank rating (RBBR) method with secondary data by examining annual reports of 41...
Persistent link: https://www.econbiz.de/10014500216
This study aims to track the structural development of academic research on credit risk assessment and big data using bibliometric analysis. The bibliography is obtained from the Scopus database and contains all studies with citations published between 2012 and 2021. The study's findings suggest...
Persistent link: https://www.econbiz.de/10014500268