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Structural Determinants of the Total Loans Volume in the Czech Republic

Řepková, Iveta - In: European Financial and Accounting Journal 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/10010512869

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

Persistent link: https://www.econbiz.de/10011459836

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

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

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

Challenges of banking profitability in Eurozone countries : analysis of specific and macroeconomic factors

Durguti, Esat Ali - In: Naše gospodarstvo : NG 66 (2020) 4, pp. 1-10

-performance relationship of EU banks because they found that market share and concentration have a positive effect on bank profitability. … determined by the type of explanation and should be taken seriously. This paper classifies determinants of bank profitability as … and internal determinants have influenced the profitability of EU banks. This paper constructs fixed-effect models and …

Persistent link: https://www.econbiz.de/10012427809

Cyclical systemic risk and downside risks to bank profitability

Lang, Jan Hannes; Forletta, Marco - 2020

This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel …

Persistent link: https://www.econbiz.de/10012216407

Board characteristics and bank stock performance : empirical evidence from the mena region

Awad, Antoine B.; Gharios, Robert; Abu Khalaf, Bashar; … - In: Risks : open access journal 12 (2024) 5, pp. 1-22

market-to-book ratio. Further, several control variables were utilized such as the bank's capital adequacy, profitability … adequacy, size, and profitability have a positive effect on the stock performance. To test the robustness of our analysis, we …

Persistent link: https://www.econbiz.de/10014636540

Consumer loan rate dispersion and the role of competition : evidence from Turkish banking industry

Baziki, Selva Bahar; Kılıç, Yavuz; Yılmaz, Muhammed … - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 1, pp. 27-47

This paper investigates the degree of dispersion in the loan pricing of commercial banks and its association with competitive conditions in the banking industry of a large emerging economy. To quantify the lending rate variability in consumer loans, we utilize a new indexation mechanism...

Persistent link: https://www.econbiz.de/10013269368

Tail event driven ASset allocation : evidence from equity and mutual funds’ markets

Härdle, Wolfgang; Lee, David Kuo Chuen; Nasekin, Sergey; … - 2015

Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...

Persistent link: https://www.econbiz.de/10011349525

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