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Author : Shin Dong Jeung
Publisher :
ISBN 13 :
Total Pages : 372 pages
Book Rating : 4.3/5 (129 download)
Download or read book A Theoretical and Empirical Investigation of Banks' Risk Taking Behavior written by Shin Dong Jeung and published by . This book was released on 2003 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christophe J. Godlewski
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (129 download)
Download or read book An Empirical Investigation of Bank Risk-Taking in Emerging Markets within a Prospect Theory Framework A Note written by Christophe J. Godlewski and published by . This book was released on 2008 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to investigate the validity of some behavioral conjectures as alternative explanations of bank risk-taking behavior. We especially focus on the different valuation of gains and losses relative to a reference point, and the changing attitude toward risk conditional on the domain (gains vs losses) features (Tversky and Kahneman 1992). We follow a methodology based on Fiegenbaum and Thomas (1988) and the Fishburn (1977) measure of risk, applied to a sample of banks from emerging market economies. Preliminary results show that the Tversky and Kahneman (1992) framework could provide an alternative for explaining risk-taking behavior in the banking industry. Bankers located above benchmark levels, exhibit risk aversion. Although, further investigations are needed in order to consolidate our conclusions.
Author : Christophe J. Godlewski
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (129 download)
Download or read book Bank Risk-Taking in a Prospect Theory Framework Empirical Investigation in the Emerging Markets' Case written by Christophe J. Godlewski and published by . This book was released on 2004 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to investigate the validity of some behavioral conjectures as alternative explanations of bank risk-taking behavior. We especially focus on the different valuation of gains and losses relative to a reference point, and the changing attitude toward risk conditional on the domain (gains vs losses) features (Tversky and Kahneman 1992). We follow a methodology based on Fiegenbaum and Thomas (1988) and the Fishburn (1977) measure of risk, applied to a sample of banks from emerging market economies. Preliminary results show that the Tversky and Kahneman (1992) framework could provide an alternative for explaining risk-taking behavior in the banking industry. Bankers located above benchmark levels, exhibit risk aversion. Although, further investigations are needed in order to consolidate our conclusions.
Author : Michael S. Pagano
Publisher :
ISBN 13 :
Total Pages : 386 pages
Book Rating : 4.:/5 (836 download)
Download or read book An Empirical Investigation of the Rationales for Risk-taking and Risk-management Behavior in the U.S. Banking Industry written by Michael S. Pagano and published by . This book was released on 1999 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas D. Jeitschko
Publisher :
ISBN 13 :
Total Pages : 91 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Effect of Capitalization on Banks' Risk Under Regulation and Managerial Moral Hazard written by Thomas D. Jeitschko and published by . This book was released on 2005 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the relationship between banks' capitalization and risk-taking behavior. The conventional wisdom is that well-capitalized banks are less inclined to increase asset risk, because the option value of deposit insurance decreases with capitalization. There are, however, at least three shortcomings in the existing theories that cast doubt on the validity of the conventional wisdom. First, many studies neglect agency problems arising from the separation of management and ownership. Second, past studies rely on limited risk-return profiles of the asset choice set and do not consider profiles in which higher risk is associated with higher return. Finally, empirical studies on this issue provide only mixed evidence.The aim of this article is to shed new light on this issue by expanding existing models to account for the shortcomings identified. Thus, we explicitly model three different incentives of the agents that shape risk-taking behavior in banking; regulatory bodies, shareholders, and management. We consider how the respective incentives influence the riskiness of a bank-portfolio for four distinct assumptions about the characteristics of risk-return profiles. By combining these factors, we demonstrate that a bank's risk can either decrease or increase with capitalization depending on the relative forces of the three agents in determining asset risk and on various parametric assumptions about risk-return profiles.In the empirical study, the regression equations are modeled so that the differing incentives of the three agents are allowed to interact. The test results show differences in risk-capitalization relationships across high and low capital banks and across publicly and non-publicly traded banks. This indicates that risk-capitalization relationships are, indeed, sensitive to the relative forces of the three agents in determining asset risk.
Author : Mr.Gianni De Nicolo
Publisher : International Monetary Fund
ISBN 13 : 1451865570
Total Pages : 51 pages
Book Rating : 4.4/5 (518 download)
Download or read book Bank Risk-Taking and Competition Revisited written by Mr.Gianni De Nicolo and published by International Monetary Fund. This book was released on 2006-12-01 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies two new models in which banks face a non-trivial asset allocation decision. The first model (CVH) predicts a negative relationship between banks' risk of failure and concentration, indicating a trade-off between competition and stability. The second model (BDN) predicts a positive relationship, suggesting no such trade-off exists. Both models can predict a negative relationship between concentration and bank loan-to-asset ratios, and a nonmonotonic relationship between bank concentration and profitability. We explore these predictions empirically using a cross-sectional sample of about 2,500 U.S. banks in 2003 and a panel data set of about 2,600 banks in 134 nonindustrialized countries for 1993-2004. In both these samples, we find that banks' probability of failure is positively and significantly related to concentration, loan-to-asset ratios are negatively and significantly related to concentration, and bank profits are positively and significantly related to concentration. Thus, the risk predictions of the CVH model are rejected, those of the BDN model are not, there is no trade-off between bank competition and stability, and bank competition fosters the willingness of banks to lend.
Author : Piu Banerjee
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (254 download)
Download or read book Banking Industry Concentration, Bank Risk-taking and Loan Pricing written by Piu Banerjee and published by . This book was released on 2005 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : James R. Barth
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Theoretical and Empirical Assessment of Bank Risk-Shifting Behavior written by James R. Barth and published by . This book was released on 2007 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Banks are important for mobilizing savings and then channeling those funds to productive investment projects. While providing these and other services that contribute to economic growth and development, banks take on various types of risks with the expectation that the return they receive will compensate for the risks. This paper theoretically models and empirically tests the extent to which information asymmetry between bank owners and depositors induces risk-shifting behavior that allows for higher bank net interest margins. The empirical results support the theoretical hypothesis that the greater the degree of information asymmetry the higher net interest margins base upon a sample of 3,115 banks in 98 countries.
Author : Deborah Cohen
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.3/5 (512 download)
Download or read book The Federal Home Loan Bank System written by Deborah Cohen and published by . This book was released on 1980 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas D. Jeitschko
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (129 download)
Download or read book Incentives for Risk-Taking in Banking - a Unified Approach written by Thomas D. Jeitschko and published by . This book was released on 2003 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a theoretical framework to investigate the relationship between banks' capitalization and risk-taking behavior. The conventional wisdom is that relatively well-capitalized banks are less inclined to increase asset risk, because the option value of deposit insurance decreases as the capital to asset ratio increases. There are, however, at least three shortcomings in the existing theories that cast doubt on the validity of the conventional wisdom: (1) Existing studies have neglected the agency problem arising from the separation of management and ownership. (2) Past studies did not consider risk-return profiles in which higher risk is associated with higher return. (3) Empirical studies on this issue provide only mixed evidence.The aim of this paper is to shed new light on this issue by expanding existing models in two dimensions. First, by incorporating into a single model the three different incentives of three agents - the bank regulator, the shareholder, and the manager - regarding the risk determination by a bank; and second, by introducing four distinct assumptions on the characteristics of risk-return profiles. By combining these two factors, the theoretical model demonstrates that a bank's risk can either decrease or increase with capitalization depending on the relative forces of the three agents in determining asset risk and on various parametric assumptions about risk-return profiles.
Author : Mr.Giovanni Dell'Ariccia
Publisher : International Monetary Fund
ISBN 13 : 1484381130
Total Pages : 41 pages
Book Rating : 4.4/5 (843 download)
Download or read book Bank Leverage and Monetary Policy's Risk-Taking Channel written by Mr.Giovanni Dell'Ariccia and published by International Monetary Fund. This book was released on 2013-06-06 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present evidence of a risk-taking channel of monetary policy for the U.S. banking system. We use confidential data on the internal ratings of U.S. banks on loans to businesses over the period 1997 to 2011 from the Federal Reserve’s survey of terms of business lending. We find that ex-ante risk taking by banks (as measured by the risk rating of the bank’s loan portfolio) is negatively associated with increases in short-term policy interest rates. This relationship is less pronounced for banks with relatively low capital or during periods when banks’ capital erodes, such as episodes of financial and economic distress. These results contribute to the ongoing debate on the role of monetary policy in financial stability and suggest that monetary policy has a bearing on the riskiness of banks and financial stability more generally.
Author : Martin Richard Goetz
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (13 download)
Download or read book Bank Diversification, Market Structure and Bank Risk Taking written by Martin Richard Goetz and published by . This book was released on 2015 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies how a bank's diversification affects its own risk taking behavior and the risk taking of competing, nondiversified banks. By combining theories of bank organization, market structure and risk taking, I show that greater geographic diversification of banks changes a bank's lending behavior and market interest rates, which also has ramifications for nondiversified competitors due to interactions in the banking market. Empirical results obtained from the U.S. commercial banking sector support this relationship as they indicate that a bank's risk taking is lower when its competitors have a more diversified branch network. By utilizing the state-specific timing of a removal of intrastate branching restrictions in two identification strategies, I further pin down a causal relationship between the diversification of competitors and a bank's risk taking behavior. These findings indicate that a bank's diversification also impacts the risk taking of competitors, even if these banks are not diversifying their activities.
Author : Xiaohong W. Angerer
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (588 download)
Download or read book Empirical Studies on Risk Management of Investors and Banks written by Xiaohong W. Angerer and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation is composed of two empirical studies on risk management. The first part is an empirical study on income risk and portfolio choice of investors. Recent theoretical work has shown that uninsurable labor income risk likely reduces the share of risky asset investment. Little empirical work has been done to examine this effect. This empirical study on the issue has three novel features. First, the long labor income history in NLSY79 is used to estimate the labor income risk. Second, the study distinguishes between permanent and transitory labor income risk, and estimates them for individuals. Third, I explicitly consider human capital as a component of the portfolio. Human capital is treated as a risk-free asset and estimated using signal extraction technique to labor income data. The study finds strong empirical support for the theory that labor income risk significantly reduces the share of risky assets in the portfolio of an investor. Furthermore, as economic theory suggests, permanent income risk has a significant effect on portfolio choice while transitory income risk has little effect. The second part of the dissertation is an empirical study on the interest rate risk management of banks. Using a rolling sample of bank holding companies from 1986 to 2002, the study investigates how banks adjust their balance sheet maturity structure according to their perception of current and future interest rate changes. Banks tend to lengthen the maturity of net assets when the yield curve is steeply sloped and shorten it when they expect the interest rate to increase in the future. To account for the off-balance-sheet activity effect on interest rate risk exposure, the sample is divided into those with high and low interest rate derivative activities. For banks with little off-balance-sheet interest rate derivative activities, the cross-sectional variation in their responsiveness of maturity structure to interest rate changes explains the stock market risk and returns of common equities. The interest rate risk management strategies reflect the extent of risk taking and are priced in the stock market.
Author : Asl? Demirgüç-Kunt
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4./5 ( download)
Download or read book Does Deposit Insurance Increase Banking System Stability? written by Asl? Demirgüç-Kunt and published by World Bank Publications. This book was released on 1999 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Explicit deposit insurance tends to be detrimental to bank stability-- the more so where bank interest rates are deregulated and the institutional environment is weak"--Cover.
Author : Jiuping Xu
Publisher : Springer
ISBN 13 : 3319933515
Total Pages : 1752 pages
Book Rating : 4.3/5 (199 download)
Download or read book Proceedings of the Twelfth International Conference on Management Science and Engineering Management written by Jiuping Xu and published by Springer. This book was released on 2018-06-25 with total page 1752 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings book is divided in 2 Volumes and 8 Parts. Part I is dedicated to Decision Support System, which is about the information system that supports business or organizational decision-making activities; Part II is on Computing Methodology, which is always used to provide the most effective algorithm for numerical solutions of various modeling problems; Part III presents Information Technology, which is the application of computers to store, study, retrieve, transmit and manipulate data, or information in the context of a business or other enterprise; Part IV is dedicated to Data Analysis, which is a process of inspecting, cleansing, transforming, and modeling data with the goal of discovering useful information, suggesting conclusions, and supporting decision-making; Part V presents papers on Operational Management, which is about the plan, organization, implementation and control of the operation process; Part VI is on Project Management, which is about the initiating, planning, executing, controlling, and closing the work of a team to achieve specific goals and meet specific success criteria at the specified time in the field of engineering; Part VII presents Green Supply Chain, which is about the management of the flow of goods and services based on the concept of “low-carbon”; Part VIII is focused on Industry Strategy Management, which refers to the decision-making and management art of an industry or organization in a long-term and long-term development direction, objectives, tasks and policies, as well as resource allocation.
Author : Enzo Scannella
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (13 download)
Download or read book Interest Rate Risk in Banking written by Enzo Scannella and published by . This book was released on 2015 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper provides a theoretical analysis of the interest rate risk in banking through a systemic approach that is known in literature as “asset & liability management” approach.The paper provides also an empirical investigation on the exposure of banks to interest rate risk, using three different scenarios: parallel shift, slope shift, and bump shift of interest rate curves.
Author : Philip Molyneux
Publisher :
ISBN 13 :
Total Pages : 368 pages
Book Rating : 4.F/5 ( download)
Download or read book Efficiency in European Banking written by Philip Molyneux and published by . This book was released on 1996-09-27 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the current state of banking within Europe. It describes how banks are experiencing greater deregulation, allowing for stronger competition and a more restrictive regulation of supervision. This has led to corporate restructuring within the banking industry.
