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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 … in the short run, although persistence is only moderate, suggesting that the Ugandan banking sector may not have large …
Persistent link: https://www.econbiz.de/10012799142
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Bank competition, foreign bank entry, and risk-taking behavior : cross country evidence
Chen, Sichong; Nazir, Muhammad Imran; Hashmi, Shujahat … - In: Journal of risk and financial management : JRFM 12 (2019) 3/106, pp. 1-26
-taking of banks over the globe. We used cross-country data for the banking sector from 2000 to 2016. Using the pooled regression …
Persistent link: https://www.econbiz.de/10012025290
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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
In this paper, we study the impact of extreme events on the loan portfolios of the Greek banking system. These … banking organization as well as the added capital that will be needed in order to hedge that risk. The execution of the …
Persistent link: https://www.econbiz.de/10011545145
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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
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Risk-sharing and the creation of systemic risk
Acharya, Viral V.; Iyer, Aaditya M.; Sundaram, Rangarajan K. - In: Journal of risk and financial management : JRFM 13 (2020) 8/183, pp. 1-18
. Financial innovations facilitate hedging idiosyncratic risks among agents; however, aggregate risks can be hedged only with …
Persistent link: https://www.econbiz.de/10012321952
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Evaluating the unconventional monetary policy of the bank of Japan : a DSGE approach
Wang, Rui - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-18
When the nominal interest rate reaches the zero lower bound (ZLB), a conventional monetary policy, namely, the adjustment of short-term interest rate, may become impractical and ineffective for central banks. Therefore, quantitative easing (QE) is one of the few available policy options of...
Persistent link: https://www.econbiz.de/10012588104
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
of numerical methods for pricing, hedging, and risk management of financial instruments. …
Persistent link: https://www.econbiz.de/10012309311
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Global hedging through post-decision state variables
Breton, Michèle; Godin, Frédéric - In: Journal of risk and financial management : JRFM 10 (2017) 3, pp. 1-6
Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach that optimizes some terminal … criterion that depends on the difference between the value of a derivative security and that of its hedging portfolio at … maturity or exercise. Global hedging methods in discrete time can be implemented using dynamic programming. They provide …
Persistent link: https://www.econbiz.de/10011712512
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Dynamic causality analysis of COVID-19 pandemic risk and oil market changes
So, Mike Ka-pui; Chan, Jacky N. L.; Chu, Amanda M. Y. - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-11
Crude oil draws attention in recent research as its demand may indicate world economic growth trend in the post-COVID-19 era. In this paper, we study the dynamic lead-lag relationship between the COVID-19 pandemic and crude oil future prices. We perform rolling-sample tests to evidence whether...
Persistent link: https://www.econbiz.de/10013273581
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Bank capital buffer and economic growth : new insights from the US banking sector
Abbas, Faisal; Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-13
This research intends to explore the relationship between capital buffer, nominator effect, denominator effect, and economic growth for large insured commercial banks of the USA. The study applied a two-step system Generalized Method of Moment (GMM) framework by taking the unique and...
Persistent link: https://www.econbiz.de/10012520242