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Fricke, Daniel - 2021

Mutual fund risk-taking via active portfolio rebalancing varies both in the crosssection and over time. In this paper, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet activities. For this purpose, I propose a novel measure of...

Persistent link: https://www.econbiz.de/10012622826

The counterparty risk exposure of ETF investors

Hurlin, Christophe; Iseli, Grégoire; Pérignon, Christophe - In: Journal of banking & finance 102 (2019), pp. 215-230

Persistent link: https://www.econbiz.de/10012162775

Counterparty choice, bank interconnectedness, and systemic risk

Ellul, Andrew; Kim, Dasol - 2021

Persistent link: https://www.econbiz.de/10012602258

The assessment of the default risk for the banks of the Romanian banking system

Vlad, Sorin Mădălin; Ruxanda, Gheorghe - In: International journal of economics, finance and … 3 (2015) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10010508533

Systemic risk in a structural model of bank default linkages

Kreis, Yvonne; Leisen, Dietmar - In: Journal of financial stability 39 (2018), pp. 221-236

Persistent link: https://www.econbiz.de/10012159770

Modeling of bank credit risk management using the cost risk model

Yanenkova, Iryna; Nehoda, Yuliia; Drobyazko, Svetlana; … - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-15

qualitative criteria using a mathematical model based on a fuzzy technology, which can forecast the increased risk of loan default …

Persistent link: https://www.econbiz.de/10012534575

Bank competition, regulatory capital, and risk taking : international evidence

Abou-El-Sood, Heba; Shahin, Rana - In: Managerial finance 49 (2023) 10, pp. 1614-1640

Persistent link: https://www.econbiz.de/10014428713

Is bank risk appetite relevant to bank default in times of Covid-19?

Pei-Ling Lee; Chun Teck Lye; Lee, Chin - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 3, pp. 109-117

The paper aims to analyze the effect of bank risk appetite on banks' default probabilities during the year of COVID-19 … of Moments (GMM) model of default probabilities is estimated over the periods 2010-2021. This study confirms the 'risk … the probability of bank default. Underperforming banks tend to have a higher portion of risky loans in their credit …

Persistent link: https://www.econbiz.de/10013407192

Large portfolio losses in a turbulent market

Tang, Qihe; Tong, Zhiwei; Yang, Yang - In: European journal of operational research : EJOR 292 (2021) 2, pp. 755-769

Persistent link: https://www.econbiz.de/10012502397

Should SIFIs protect themselves from systemic risk?

Galizia, Federico - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 27-33

Persistent link: https://www.econbiz.de/10010526461

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