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When the US stock market becomes extreme?
Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225
real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of …
Persistent link: https://www.econbiz.de/10010399734
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Bank competition in India : some new evidence using risk-adjusted Lerner index approach
Arrawatia, Rakesh; Misra, Arun; Dawar, Varun; Maitra, … - In: Risks : open access journal 7 (2019) 2/44, pp. 1-12
on the competitive levels in the banking sector and the risk the assets and liabilities carry in banks’ balance sheet … study introduces a risk-adjusted Lerner Index for evaluating competition in Indian banking for the period 1996 to 2016. The … competitive condition for the overall period. Further, as indicated by risk-adjusted Lerner Index, the Indian banking system …
Persistent link: https://www.econbiz.de/10012019243
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Bank risk determinants in Latin America
Martínez-Malvar, Mariña; Baselga-Pascual, Laura - In: Risks : open access journal 8 (2020) 3/94, pp. 1-21
Systemic Banking crises are a recurrent phenomenon that affects society, and there is a need for a better understanding …, including the systemic banking crisis episodes in Argentina (2001-2003) and Uruguay (2002-2005). We apply a new data …
Persistent link: https://www.econbiz.de/10012293308
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Lambda value at risk and regulatory capital : a dynamic approach to tail risk
Hitaj, Asmerilda; Mateus, Cesario; Peri, Ilaria - In: Risks : open access journal 6 (2018) 1, pp. 1-18
This paper presents the first methodological proposal of estimation of the VaR. Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk measures. We also propose a simple backtesting methodology by...
Persistent link: https://www.econbiz.de/10011811561
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Bank stress testing : a stochastic simulation framework to assess banks' financial fragility
Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54
We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on...
Persistent link: https://www.econbiz.de/10011890804
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Systemic risk management of investments in innovation based on CSR
Lebedev, Vladimir V.; Deberdeeva, Nelia A.; Farkova, … - In: Risks : open access journal 10 (2022) 5, pp. 1-26
The problem studied in this paper consists in the fact that the social and financial risks of investments in innovations are managed in isolation, which leads to limited results (reduces certain risks but raises other risks). This paper is devoted to the search for a new strategy of managing the...
Persistent link: https://www.econbiz.de/10013359127
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Digital risk and financial inclusion : balance between auxiliary innovation and protecting digital banking customers
Ahmed, Faraz; Hussain, Arsalan; Sajjad Nawaz Khan; … - In: Risks : open access journal 12 (2024) 8, pp. 1-21
The digital economy's rise has fueled the growth of digital banking, but concerns linger about customer protection …. While offering advantages like financial inclusion, this shift disrupts traditional banking experiences and introduces … Pakistani digital banking industry's success …
Persistent link: https://www.econbiz.de/10015065900
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Operational resilience disclosures by banks: analysis of annual reports
Leo, Martin - In: Risks : open access journal 8 (2020) 4/128, pp. 1-15
An array of developments impacting the financial services industry, such as increasing complexity, interconnectedness, third party dependencies and digitalization, means operational resilience will remain a significant area of concern for policy makers, investors and customers. The purpose of...
Persistent link: https://www.econbiz.de/10012391018
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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
This paper provides a critical analysis of the subadditivity axiom, which is the key condition for coherent risk 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...
Persistent link: https://www.econbiz.de/10012126479
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A proposed methodology for literature review on operational risk management in banks
Jiravichai, Ajjima; Ruthī Phanomyong - In: Risks : open access journal 10 (2022) 5, pp. 1-18
The purpose of this paper is to propose a methodology that enables researchers to identify relevant search terms when conducting a literature review. This methodology requires an analysis of existing literature review articles on the topic under study to form keywords. The objective of this...
Persistent link: https://www.econbiz.de/10013357335