Abstract This paper introduces optimal expected utility (OEU) risk measures, investigates their main properties and puts them in perspective to alternative risk measures and notions of certainty equivalents. By taking the investor’s point of view, OEU maximizes the sum of capital available...

Abstract Di Crescenzo and Longobardi [Di Crescenzo and Longobardi, On cumulative entropies, J. Statist. Plann. Inference 139 2009, 12, 4072–4087] proposed the cumulative entropy (CE) as an alternative to the differential entropy. They presented an estimator of CE using empirical approach. In...

Purpose – Recent events demonstrate that problems in the banking system pose a significant threat to the health of the global economy. Despite several shortcomings the Basel Accord thus emerges as an attempt to protect banking systems. The purpose of this study is to shed light on potential...

Purpose This paper aims to evaluate whether promoter holding influences a bank’s liquidity in India’s leading emerging market. Furthermore, it also evaluates the moderating role of risk-weighted assets (RWA) on the relationship between promoter holding and liquidity....

Summary The forward rate curve is assumed to follow a stochastic differential equation w.r.t. a Lévy process with infinite dimensions. Conditions under which the market is free of arbitrage are provided for both the interest rate case and for the case of credit risk with ratings. A simulation...

Abstract We design a discrete time arbitrage-free model under incomplete information for application to credit risk models in the spirit of Duffie and Lando (2001). We assume a fundamental value process evolving according to a complete market model and a sequence of imperfect signals conveying...

Agricultural credit risk migration is examined using loan records gathered from four agricultural lenders. Results indicate that lender risk ratings are much more stable than ratings based on credit scores estimated from financial statements, highlighting the importance played by nonfinancial...

Some past studies of credit risk ratings migration have found trend reversals and evidence that the data‐generating process is nonstationary. Using a sample of Farm Credit System mortgages, we find no compelling statistical evidence of either phenomenon. We do find evidence that our sample of...