Author : Christophe J. Godlewski
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (129 download)
Book Synopsis Bank Risk-Taking in a Prospect Theory Framework Empirical Investigation in the Emerging Markets' Case by : Christophe J. Godlewski
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.