This paper examines the validity of the risk-return trade-off for a sample of Czech banks over the period 2002-2022 by … analysing the relationship between the bank risk and risk-adjusted returns. I find evidence of a significant negative … association between the regulatory risk measure and risk-adjusted returns, indicating that the risk-return trade-off does not hold …

sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by … deteriorating funding conditions and investor sentiment. While the equity return performance in the banking sector has been dismal …

further reveals that Pakistani banks are not getting any benefit of the economies of scale in terms of financial performance. …

decompositions, derives a network risk model for a portfolio of assets. As a normalized measure of the sum of variance contributions … deriving the network risk model, the portfolio covariance matrix is decomposed to obtain the network-driven component of the … both the variance and covariance decompositions. In a third step, using quantile regressions, the proposed network risk …

returns of financial and other assets. This feature makes it an appealing candidate for the computation of value at risk and … expected shortfall measures, used by regulators, investors, portfolio managers and actuaries to measure and manage the risk … value at risk, expected shortfall and downside risk measures for asset values and returns based on the SGT distribution. An …

score (Proxy for Risk). Based on data from 2005- 2017 on Indian Public and Private sector banks. It has been found that even …

interest rate duration and time-varying exposure to default risk. We estimate a regime switching model and show that shocks to … default risk have a large impact on loan returns when leverage is high and a much smaller impact on loan returns when leverage … is low, consistent with standard models of credit risk pricing. As a result, the systematic risk exposure of corporate …

We study the magnitude of tail risk --- particularly lower tail downside risk --- that is present in intraday versus … overnight market returns and thereby examine the nature of the respective market risk borne by market participants. Using the … that overnight return innovations exhibit significant tail risk, while intraday innovations do not. We illustrate this …

the US banking stress tests on banks' equity prices, credit risk, systematic risk, and systemic risk during the 2009 … spreads declined in response to the disclosure of stress test results. We also find that bank systematic risk, as measured by … systemic risk …