In many standard derivation and presentations of risk measures like the Value-at-Risk or the Expected Shortfall, it is assumed that all the model's parameters are known. In practice, however, the parameters must be estimated and this introduces an additional source of uncertainty that is usually...

The paper analyses the relationship between the banks' credit risk and macroeconomic conditions by addressing the following questions; (i) How are macroeconomic shocks transmitted to lending risk depending on the ban-specific features? (ii) Are the effects of macroeconomic shocks different...

Financial stability is an important part of the Central Bank of Jordan (CBJ) role in parallel with maintenance of monetary stability. The impact of the global financial crises from 2007-2009 and the economic slowdown has left the Jordanian banking sector in a generally weaker position than...

The aim of this paper is to investigate the determinants of the movement of non-performing loans in the banking sector of Bosnia and Herzegovina, as well as the impact of the COVID-19 pandemic on them. For this purpose, secondary data from the banking sector of BiH were used, over which a...

This study investigates the relationship between profitability and market power in the banking sector using data from the financial reports of the banks that operated in Serbia and Montenegro, covering the period from the first quarter of 2010 to the last quarter of 2019. In order to investigate...

This paper analyses the concentration of the banking system in Croatia and the impact of concentration on stability of the economic system as a whole over the period since 2002 to 2017. The level of concentration is usually related to the competitiveness of a particular sector, in this case the...

Banking is important for the stability and success of the economy. The success of the banking system on financial intermediation in developing countries is directly affected by non-performing loans (NPLs). Many factors can be treated as NPL determinants. Accordingly, the factors that explain...

With insights drawn from legitimacy theory undergirding perceived relative factors expected to influence the level of Web-Based Financial Reporting Disclosure (WBFRD), this paper sheds light on the level of the Web-Based Financial Reporting Disclosure (WBFRD) in selected banks in the KSA in...

This paper attempts to investigate empirically whether financial and macroeconomic stability of economies are significantly affected by the structure of their financial systems, viz., bank-based and market-based structures. Using panel data estimations based on data from 82 countries for the...

This paper develops a macroprudential liquidity stress test model for Indonesian banks. Our model incorporates two factors driving liquidity runs: (i) idiosyncratic factors; and (ii) macroeconomic factors. We estimate this model using a sample of 113 banks over the period of January 2011 to June...