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COVID 19 and bank profitability in low income countries : the case of Uganda
Katusiime, Lorna - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-19
This study investigates the impact of the COVID-19 pandemic on banking sector profitability in Uganda for the period spanning Q1 2000 to Q1 2021, using the autoregressive distributed lag (ARDL Bound) testing approach to co-integration while controlling for bank specific and macroeconomic...
Persistent link: https://www.econbiz.de/10012799142
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The effects of securitization for managing banking risk using alternative tranching schemes
Cadenas, Pedro; Gzyl, Henryk - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-25
Diversification practices by banks affect their own risk of failing and the risk of the banking system as a whole … have risk amplification effects among banks when confidence shocks occur. …
Persistent link: https://www.econbiz.de/10013471496
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Multiplicative methodology for assessing investment attractiveness and risk for industries
Vertakova, Yulia; Klevtsova, Maria; Zadimidchenko, Anna - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-9
Creating favorable conditions for the development of industry is one of the key tasks with an increased level of complexity, the solution of which is associated with attracting investments and forming an investment policy that takes into account various specific characteristics of its...
Persistent link: https://www.econbiz.de/10013471497
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Shari'a governance in Bahrain : analysing the Islamic banking industry's implementation of the newly issued regulatory Shari’a governance module
Al-Saadi, Abdulrahman; Hassan, M. Kabir; Alkhan, Ahmed … - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-22
Shari’a governance is considered a crucial element of the Islamic banking industry. As recent as 2017, Islamic banks in … Islamic banks to have at least two internal Shari’a departments instead of one, mandated external Shari’a auditing, and … gap between Islamic retail and wholesale banks, where the former have fully implemented the new Shari’a governance …
Persistent link: https://www.econbiz.de/10013471498
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Solvency regulation : an assessment of Basel III for banks and of planned Solvency III for insurers
Zweifel, Peter - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-22
Basel III, regulating the solvency of banks, is to be fully implemented by 2027 while Solvency III directed at insurers … the solvency of banks and insurers in the same way? The first question is motivated by an earlier finding that Basel I and … II risked inducing more rather than less risk-taking by banks, which also holds for Solvency I and II w.r.t. insurers …
Persistent link: https://www.econbiz.de/10012588178
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A review of the regulatory impact analysis of risk-based capital and related liquidity rules
Hogan, Thomas L. - In: Journal of risk and financial management : JRFM 14 (2021) 1/24, pp. 1-29
This paper reviews the cost-benefit analysis, or “regulatory impact analysis” (RIA), in US bank regulators’ risk-based capital (RBC) rule proposals. We review the principles of cost-benefit analysis and its application by US bank regulators. We provide a brief background on RBC rules and...
Persistent link: https://www.econbiz.de/10012417012
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Dynamic and static volatility interruptions : evidence from the Korean stock markets
Eom, Kyong Shik; Kwon, Kyungyoon; La, Sung Chae; Park, … - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19
We conducted a comprehensive analysis on the sequential introductions of dynamic and static volatility interruptions (VIs) in the Korean stock markets. The Korea Exchange introduced VIs to improve price formation, and to limit risk to investors from brief periods of abnormal volatility for...
Persistent link: https://www.econbiz.de/10013161697
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Evidence of stock market contagion during the COVID-19 pandemic : a wavelet-copula-GARCH approach
Alqaralleh, Huthaifa; Canepa, Alessandra - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18
In this study, we propose a wavelet-copula-GARCH procedure to investigate the occurrence of cross-market linkages during the COVID-19 pandemic. To explore cross-market linkages, we distinguish between regular interdependence and pure contagion, and associate changes in the correlation between...
Persistent link: https://www.econbiz.de/10012626221
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An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28
This study employs the Vector Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (VAR-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging Asian stock markets during the full sample period, the...
Persistent link: https://www.econbiz.de/10012388066
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Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19
This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return...
Persistent link: https://www.econbiz.de/10012309325