The paper examines the effect of sectoral risk on bank returns that accrue from the extension of credit to the … different sectors of the economy in Kenya. Based on Dynamic Panel Data regressions of quarterly sectoral data spanning from 2011 …-linear relationship between risk and return regardless of the measure of risk, (3) Sectoral credit expansion is significantly impacted by …

) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if … cooperative banks. In the second part we measure the overall effect of better monitoring and the associated higher sectoral credit … concentrations on the credit risk of the portfolio. Our empirical results suggest that specialization benefits overcompensate the …

This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and … credit growth broken down by sector. The use of these models enables the stress tests to be linked to the CNB's official … of credit risk for individual sectors. Based on the analysis, an answer is sought to the question of whether the observed …

lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its … interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on …

Traditionally banks have used securitization for expanding credit and thus their profitability. It has been well …

Canadian banks manipulated the provision for credit losses to ‘smooth’ earnings. …

expectations, as captured in the Central Bank of Kenya's Quarterly Credit Officers Survey. The study developed an index to measure … credit supply in Kenya increases with an increase in credit demand expectations, other factors remaining constant, while …This study examined the responsiveness of commercial banks' sectoral credit supply to changes in credit demand …

Benachteiligung des Mittelstands und auch nicht zu dem vielfach befürchteten Credit Crunch führen (muss)«. Für Gerhard Hofmann …, Deutsche Bundesbank, ist »unter dem Gesichtspunkt der Stabilität der einzelnen Bank und unseres Bankensystems ... Basel II …

heuristic approaches which capture the deviation of a bank's portfolio from a specified benchmark. Conceivable benchmarks are … indicate contradicting results on the individual bank level. Since distance measures are more appealing from a theoretical …, may be misleading. We further find that, despite these differences on the individual bank level, both approaches reveal …

in the pricing of credit risk and the measurement of bank profitability and solvency. Basel II Advance IRB Approach …-data of loans to SME and corporations of an anonymous commercial bank from Central Europe. LGD estimates are important inputs …