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Structural determinants of the total loans volume in the Czech Republic
Řepková, Iveta - In: European financial and accounting journal : EFAJ 5 (2010) 3/4, pp. 75-83
model. The regression analysis showed that the concentration of the credit market and the profitability calculated as the … the share of classified loans to total loans is decreasing, total loans volume is rising and if concentration ratio of the …
Persistent link: https://www.econbiz.de/10011459836
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Using a panel data approach to determining the key factors of Islamic banks' profitability in Bahrain
ElSeoud, Mohamed Sayed Abou; Yassin, Mohamed; Ali, … - In: Cogent business & management 7 (2020) 1, pp. 1-16
profitability in Bahrain. It used panel data of six Islamic retail banks from 2013 to 2019, and it employed an explanatory research … with secondary financial data. Return on Assets (ROA) and Return on Equity (ROE) are two main profitability measures are … to improve bank's profitability. …
Persistent link: https://www.econbiz.de/10012650177
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Smooth Transition Regression Models for Non-Stationary Extremes
Hambuckers, Julien - 2020
We introduce a smooth transition Generalized Pareto (GP) regression model to study the link between extreme losses and the economic context. The advantage of our approach consists in specifying a time-varying dependence structure between financial factors and the severity distribution of the...
Persistent link: https://www.econbiz.de/10012841101
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A financial risk meter for China
Wang, Ruting; Althof, Michael; Härdle, Wolfgang - 2021
This paper develops a new risk meter specifically for China - FRM@China - to detect systemic financial risk as well as tail-event (TE) dependencies among major financial institutions (FIs). Compared with the CBOE FIX VIX, which is currently the most popular financial risk measure, FRM@China has...
Persistent link: https://www.econbiz.de/10012697483
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Industry Distress and Default Recovery Rates : The Unconditional Quantile Regression Approach
Chuang, Hui-Ching - 2020
In this study, we estimate the effect of industry distress on recovery rates by using the unconditional quantile regression (UQR) proposed in Firpo, Fortin, and Lemieux (2009). The UQR provides better interpretative and thus policy-relevant information on the marginal effect of the covariates...
Persistent link: https://www.econbiz.de/10012847199
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Riding the Yield Curve : Risk Taking Behavior in a Low Interest Rate Environment
Chami, Ralph - 2020
Investors seek to hedge against interest rate risk by taking long or short positions on bonds ofdifferent maturities. We study changes in risk taking behavior in a low interest rateenvironment by estimating a market stochastic discount factor that is non-linear and thereforeconsistent with the...
Persistent link: https://www.econbiz.de/10012836549
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Keep the Faith in Banking : New Evidence for the Effects of Negative Interest Rates Based on the Case of Finnish Cooperative Banks
Junttila, Juha-Pekka - 2020
following negative era for European interbank markets, has positively affected profitability of Finnish cooperative banks. We … bank profitability and analysing the role of increasing wholesale funding ratio, particularly during the period of negative … interest rates. Our results serve as a primer for more detailed analysis of factors affecting bank profitability during the …
Persistent link: https://www.econbiz.de/10012844966
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The laws of motion of the broker call rate in the United States
Garivaltis, Alex - In: International Journal of Financial Studies : open … 7 (2019) 4/56, pp. 1-23
In this paper, which is the third installment of the author´s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin loans to retail clients. We describe the basic...
Persistent link: https://www.econbiz.de/10012150532
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Degree of concentration of the banking sector in B&H and the impact on the prices of banking products
Bojat, Milica; Rebić, Mladen - In: Ekonomske teme 58 (2020) 2, pp. 219-234
This paper tends to examine the level of concentration of the banking sector in Bosnia and Herzegovina. The main … objective of the paper is to measure the level of concentration and to investigate how the concentration and type of market … state of the B&H banking sector. By using the appropriate index (HHI, CR3), the movement of concentration levels and the …
Persistent link: https://www.econbiz.de/10012522430
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An analysis of concentration and competition in the banking sector of the Republic of Serbia
Radojičić, Jelena; Jemović, Mirjana; Dragijević, Dejan - In: Ekonomske teme 59 (2021) 4, pp. 427-444
The degree of the banking sector concentration is a structural variable and refers to the number of banks in the system … and the degree of their market power. The importance of measuring concentration in the banking sector stems from the … measuring the banking sector competition proceed from the market structure and concentration measures. In contrast, modern …
Persistent link: https://www.econbiz.de/10013266125