This book criticizes the fact that profitability measures derived from capital market models such as the Sharpe ratio and the reward-to-VaR ratio are proposed for loan portfolios, although it is not proven whether their risk-return trade-offs are optimal for banks. The authors demonstrate that...

We study the impact of regulations on the investment decisions of a defined benefits pension plan. We assess the influence of ex ante (preventive) and ex post (punitive) risk constraints on the gains to dynamic, as opposed to myopic, decision making. We find that preventive measures, such as...

This study is conducted for the topic of banking capital and risk, aiming at analyzing panel data collected from 20 commercial banks from 2015 to 2019. The research objective is to investigate whether there is the relationship between regulatory capital and risks and the impact level of several...