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Bigger is not always safer : a critical analysis of the subadditivity assumption for coherent risk measures

Rau-Bredow, Hans - In: Risks : open access journal 7 (2019) 3/91, pp. 1-18

measures. Contrary to the subadditivity assumption, bank mergers can create extra risk. We begin with an analysis how a merger … affects depositors, junior or senior bank creditors, and bank owners. Next it is shown that bank mergers can result in higher … interbank loans, a bank merger could lead to additional contagion risks. We conclude that the subadditivity assumption should be …

Persistent link: https://www.econbiz.de/10012126479

Sustainable profitability in volatile cyclical markets

Sarraf, Hanna - In: Journal of risk management in financial institutions 13 (2019/2020) 2, pp. 182-189

Persistent link: https://www.econbiz.de/10012250026

A risk-based approach for asset allocation with a defaultable share

Shen, Yang; Siu, Tak Kuen - In: Risks : open access journal 6 (2018) 1, pp. 1-27

This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a money market account, an ordinary share and a defaultable security are investment opportunities in a general non-Markovian economy incorporating random market parameters. The...

Persistent link: https://www.econbiz.de/10011811551

Model for technology risk assessment in commercial banks

Kang, Wenhao; Cheung, Chi Fai - In: Risks : open access journal 12 (2024) 2, pp. 1-20

on machine learning. It first identifies risk factors in bank IT, preprocesses the sample data, and uses different …

Persistent link: https://www.econbiz.de/10014497394

Risk factors affecting bancassurance development in Poland

Sliwinski, Adam; Dropia, Joanna; Duczkowski, Norbert - In: Risks : open access journal 9 (2021) 7, pp. 1-19

) represented by the average number of people in a household in Poland, demand on mortgage loans represents by bank housing loans …

Persistent link: https://www.econbiz.de/10012598986

Climate change risk : the next frontier in banking risk management

Sarraf, Hanna - In: Journal of risk management in financial institutions 15 (2021/2022) 1, pp. 85-92

Persistent link: https://www.econbiz.de/10013189151

Is economic uncertainty a risk factor in bank loan pricing decisions? : international evidence

Ashraf, Badar Nadeem - In: Risks : open access journal 9 (2021) 5, pp. 1-17

World Uncertainty Index (WUI) and using a bank-level dataset from 88 countries over the period 1998-2017, we find that … heightened economic uncertainty increases bank loan interest rates. Specifically, bank loan interest rates rise by 20.67 basis … that bank price in economic uncertainty is an important risk while setting interest rates on bank loans. …

Persistent link: https://www.econbiz.de/10012508796

The accuracy of risk measurement models on bitcoin market during COVID-19 pandemic

Likitratchoaroen, Danai; Kronprasert, Nopadon; … - In: Risks : open access journal 9 (2021) 12, pp. 1-16

Since late 2019, during one of the largest pandemics in history, COVID-19, global economic recession has continued. Therefore, investors seek an alternative investment that generates profits during this financially risky situation. Cryptocurrency, such as Bitcoin, has become a new currency tool...

Persistent link: https://www.econbiz.de/10012794186

Market risk calculation for private equity fund-of-funds

Henzler, Jörg; George, Constantine - In: Journal of risk management in financial institutions 11 (2017/2018) 4, pp. 328-360

Persistent link: https://www.econbiz.de/10011980279

An optimal tail selection in risk measurement

Just, Małgorzata; Echaust, Krzysztof - In: Risks : open access journal 9 (2021) 4, pp. 1-16

The appropriate choice of a threshold level, which separates the tails of the probability distribution of a random variable from its middle part, is considered to be a very complex and challenging task. This paper provides an empirical study on various methods of the optimal tail selection in...

Persistent link: https://www.econbiz.de/10012508704