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this adjustment seems to be delivered through changes in average risk weights. For this and other reasons, it is desirable … to regularly assess whether the evolution and current level of risk weights give rise to any risk of underestimating the …
Persistent link: https://www.econbiz.de/10011763804
-sample performance of our estimators. An empirical study of efficiency trends in the largest banks operating in the U.S. from 1990 to …
Persistent link: https://www.econbiz.de/10011711007
We propose a dynamic clustering model for studying time-varying group structures in multivariate panel data. The model is dynamic in three ways: First, the cluster means and covariance matrices are time-varying to track gradual changes in cluster characteristics over time. Second, the units of...
Persistent link: https://www.econbiz.de/10012161029
We propose a dynamic clustering model for uncovering latent time-varying group structures in multivariate panel data. The model is dynamic in three ways. First, the cluster location and scale matrices are time-varying to track gradual changes in cluster characteristics over time. Second, all...
Persistent link: https://www.econbiz.de/10012594269
We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross‐section of short time series of censored observations. Our fully Bayesian approach allows us to flexibly estimate the cross‐sectional distribution of heterogeneous coefficients and then...
Persistent link: https://www.econbiz.de/10014306360
needed how banks are governed and how bank governance is associated with performance and risk taking. This report deals with … corporate governance matter. Higher executive team expertise is associated with superior bank outcomes regarding performance …, risk and efficiency. Compensation analyses show strong variation in compensation schemes between banks and bank divisions …
Persistent link: https://www.econbiz.de/10011742813
When purchasing a financial product, investors may actively decide upon the risk they take. This paper analyzes the … surroundings on their risk taking in the market of speculative exchange-traded retail products. Using a large trade dataset of … warrants and leverage certificates on an individual investor level, I find evidence that risk taking behavior is strongly …
Persistent link: https://www.econbiz.de/10011849256
of geographic diversification and distance on the performance of banks, the market power of loans and deposits, and the … effect of large and medium banks on the performance of small banks, a sample of commercial banks is selected. The study finds … that geographic diversification and distance between bank branches and headquarters do not affect the performance of the …
Persistent link: https://www.econbiz.de/10014319534
performance and risk, at both an accounting and a market-based level. Overall, these results suggest that not only markets and …Attributing ratings to the top-20 owners, we construct a Risk-Weighted Ownership index (RWO) to measure the … profitability and risk-taking behaviour of the ownership structure at banks. Collecting data from 19 European countries plus the UK …
Persistent link: https://www.econbiz.de/10015410137
There is as yet a study of money supply effect on the aggregate bank stock prices using modern money supply theories.Endogenous money theory suggests loans made by banks cause deposits, and, consequently, bank creates money supply. Resulting changes in bank's loans and deposits affects bank...
Persistent link: https://www.econbiz.de/10013156236