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Debt market trends and predictors of specialization : an analysis of Pakistani corporate sector
Khan, Kanwal Iqbal; Qadeer, Faisal; Mata, Mário Nuno; … - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-16
-affiliated, and low-leverage companies incline more towards this strategy. Credit rating, debt maturity, financial and interest …
Persistent link: https://www.econbiz.de/10012587447
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Loan delinquency : some determining factors
Chong, Fen Nee - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-7
the other hand, level of income and gender have no significant impact on repayment behaviour. Credit is good as it allows … attitude towards credit management and self-discipline can be encouraged to reduce loan default rates. …
Persistent link: https://www.econbiz.de/10012626094
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The impact of the Basel accord on Greek banks : a stress test study
Leventides, John; Donatou, Anna - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 181-197
show an increase of credit risk during the crisis periods, and the differentiation of risk depending on the size of the …
Persistent link: https://www.econbiz.de/10011545145
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Models for risk aggregation and sensitivity analysis : an application to bank economic capital
Inanoglu, Hulusi; Jacobs, Michael - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 118-189
(Basel 2) and recent financial turmoil. The main risks faced - market, credit and operational – have distinct distributional …
Persistent link: https://www.econbiz.de/10011556126
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The impact of BASEL accords on the management of Vietnamese commercial banks
Pham, Hai Long; Daly, Kevin James - In: Journal of risk and financial management : JRFM 13 (2020) 10/228, pp. 1-19
This paper is an attempt to empirically examine the impact of Basel Accord regulatory guidelines on the risk-based capital adequacy regulation and bank risk management of Vietnamese commercial banks. Our research aims to assess how Vietnamese commercial banks manage their capital ratio and bank...
Persistent link: https://www.econbiz.de/10012388007
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Default risk and cross section of returns
Cakici, Nusret; Chatterjee, Sris; Chen, Ren-Raw - In: Journal of risk and financial management : JRFM 12 (2019) 2/95, pp. 1-15
Prior research uses the basic one-period European call-option pricing model to compute default measures for individual firms and concludes that both the size and book-to-market effects are related to default risk. For example, small firms earn higher return than big firms only if they have...
Persistent link: https://www.econbiz.de/10012022028
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Application of vine copulas to credit portfolio risk modeling
Geidosch, Marco; Fischer, Matthias - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-15
structure of a credit portfolio. We show statistical and economic implications of replacing conventional copulas by vine copulas … conventional Gauss copula is deficient in modeling the dependence structure of a credit portfolio and economic capital is seriously …
Persistent link: https://www.econbiz.de/10011544001
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The two defaults scenario for stressing credit portfolio loss distributions
Tasche, Dirk - In: Journal of risk and financial management : JRFM 9 (2016) 1, pp. 1-18
The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by …
Persistent link: https://www.econbiz.de/10011544020
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Performance, risk, and cost of capital : trends and opportunities for future CSR research
Saeed, Asif; Sroufe, Robert Paul - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-20
) Does CSR mitigate financial distress risk? and (3) Is CSR good for firm trade credit? …
Persistent link: https://www.econbiz.de/10012798932
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Modelling systemically important banks vis-à-vis the basel prudential guidelines
Salim, M. Zulkifli; Daly, Kevin James - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-20
Our paper investigates Indonesia's systemically important banks (SIBs) using theoretical approaches-CoVaR, marginal expected shortfall (MES), and SRISK-to compare with the Basel guidelines as benchmark. We use Indonesian banks' market and supervisory data over the 2008-2019 period. The research...
Persistent link: https://www.econbiz.de/10012622472