, but are negatively related to leverage ratio. These results imply that banks whose compensation schemes are more sensitive … variables, we choose BIS ratio and leverage ratio. Our empirical results show that delta, vega, and the relative size of stock … profitability, but they are also more devoted to maintaining adequate level of capital by lowering leverage. Our findings suggest …

stock prices are used as probability of default(PD) models for the mutual savings banks, but there are some problems on the … model provides PDs for the exchang-traded S&L banks, which is used as a dependent variable in the logistic model, and …) it is very effective for the forecast of default in case of real defaulted S&L banks …

estimating expected loss, this paper revises the EDF model to capture the characteristics of commercial banks and fat …

Korean Abstract: 본 논문은 금융산업지수(KOSPI 금융업 지수와 KRX Banks 지수)와 개별 금융기관(6개 시중은행과 4개 지방은행)의 주가 수익률의 조건부 분산을 GARCH-ARJI 모형을 … industry. We analyzed two stock index (KOSPI financial industry index and KRX Banks index) and 10 individual bank's return …

commercial banks and savings banks. Using selected input and output variables of the each banking industry, we estimate the bank … efficiency. Our result shows that the efficiency of commercial banks substantially deteriorated after 2007. On the contrary, the … efficiency of savings banks has continuously improved since 2006. We attribute these results to special management policies on …

banks and checks the possibility that small banks are likely to have comparative advantages in relationship lending to … informationally opaque SMEs. We find some evidences indicating that relationship lending technology is preferred by small banks …. Higher loan premium and more frequent use of collateral and credit guarantee are observed among small banks, which is thought …