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A note on: an early warning system for market inefficiency

Habibi, Reza - In: Financial internet quarterly 16 (2020) 4, pp. 35-41

a martingale process. Thus, it is necessary to use a suitable EWS tool for violation of martingale properties of the …Violation of the efficient market hypothesis (EMH) in a specific market may lead to construction of bubbles which is a … crises. Early warning systems (EWSs) are designed to quickly alert the market to crises. Under EMH, the logarithm of price is …

Persistent link: https://www.econbiz.de/10012509988

A Behavioral Model of the Credit Boom

Peón, David; Calvo, Anxo; Antelo, Manel - Instituto Universitario de Estudios e Desenvolvemento … - 2014

We offer a simple model of herding and limits of arbitrage in retail credit markets that follows the behavioral approach of Shleifer (2000). We show why solely behavioral biases by participants in the industry could explain how a credit bubble might be fed by the banking sector. According to our...

Persistent link: https://www.econbiz.de/10010757188

Using Behavioral Economics to Analyze Credit Policies in the Banking Industry

Peón, David; Calvo, Anxo - In: European Research Studies Journal XV (2012) 3, pp. 145-160

2008 world financial meltdown highlighted significant shortcomings on procedures used by the banking sector to provide credit to the real economy. A long period of indulgence granting personal loans and mortgages that boosted a credit bubble all over the world has been followed by an era of...

Persistent link: https://www.econbiz.de/10011031794

ANALYSIS OF THE ROMANIAN BANKS‘ PERFORMANCE THROUGH ROA, ROE AND NON-PERFORMING LOANS MODELS

Socol, Adela; Danuletiu, Adina Elena - In: Annales Universitatis Apulensis Series Oeconomica 2 (2013) 15, pp. 24-24

General assumption of this study is that the banks performance represents their abilityto generate sustainable profitability and that banks‘ profitability is one important issue ofcontemporary banking field, grace to its role in emphasizing of the financial soundness of banks,abreast to others...

Persistent link: https://www.econbiz.de/10010838719

Sectoral analysis of the effectiveness of bank risk capital in the Visegrad Group countries

Nocoń, Aleksandra; Pyka, Irena - In: Journal of business economics and management 20 (2019) 3, pp. 424-445

Bank risk capital (capital at risk) is identified with the value of banks' own funds maintaining to absorb potential losses and protect against insolvency. It is calculated for the capital adequacy ratios, recommended by the Basel Committee on Banking Supervision. On other words, it is a kind of...

Persistent link: https://www.econbiz.de/10012175746

How does the ECB allot liquidity in its weekly main refinancing operations?

Ejerskov, Steen; Moss, Clara Martin; Stracca, Livio - 2003

This paper provides a simple weekly model of the regular supply of liquidity in the euro area, with a view to understanding the functioning of the euro area money market. The main result of the analysis is that liquidity has normally been provided by the ECB in a neutral and smooth manner, but...

Persistent link: https://www.econbiz.de/10009635957

Bank competition and financial stability: A general equilibrium exposition

De Nicolò, Gianni; Lucchetta, Marcella - 2013

We study the welfare properties of a general equilibrium banking model with moral hazard that encompasses incentive mechanisms for bank risk-taking studied in a large partial equilibrium literature. We show that competitive equilibriums maximize welfare and yield an optimal level of banks' risk...

Persistent link: https://www.econbiz.de/10010291658

Wie beeinflußt das Umfeld einer Bank die Effizienz? Eine DEA-Analyse für die Bayerischen Genossenschaftsbanken

Wutz, Andreas - 2002

Bei der Effizienzanalyse von Banken haben sich die Arbeiten bislang die Standortfaktoren vollständig vernachlässigt. In der Arbeit soll der Einfluß der Standortfaktoren einer Bank auf das Effizienzniveau untersucht werden, indem eine Integration der Faktoren in ein DEA Modell unternommen...

Persistent link: https://www.econbiz.de/10010291676

Credit risk and the role of capital adequacy regulation

Pausch, Thilo; Welzel, Peter - 2002

Using the industrial organization approach to the microeconomics of banking we model a large (Monti-Klein) bank which is risk neutral and faces credit uncertainty in its loan business. The impact of capital adequacy regulation and the effect of changes in risk on deposit and loan rates are...

Persistent link: https://www.econbiz.de/10010291691

Bankrisiko und Risikosteuerung mit Derivaten

Broll, Udo; Welzel, Peter - 2002

In einem einfach gehaltenen Bankmodell untersucht der Beitrag die ökonomischen Wirkungen des Einsatzes von Derivaten für marktgängige und nicht marktgängige Risiken. Wir betrachten das klassische Kredit– und Einlagengeschäft einer kompetitiven Bank. Sind Kreditausfall- und...

Persistent link: https://www.econbiz.de/10010291696

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