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Time to simplify banking supervision : an evidence-based study on PCA framework in India

Bhusan, Soumik; Hazarika, Angshuman; Gopal, Naresh - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-20

The financial stability of the commercial banking sector remains one of the critical responsibilities of the Reserve Bank of India (RBI). Weak banks cause instability in the financial system, triggering depositor runs. While several studies covered the prompt corrective action framework (PCA)...

Persistent link: https://www.econbiz.de/10013273706

Corporate bankruptcy prediction model, a special focus on listed companies in Kenya

Ogachi, Daniel; Ndege, Richard; Gaturu, Peter; Zoltan, Zeman - In: Journal of risk and financial management : JRFM 13 (2020) 3/47, pp. 1-14

Predicting bankruptcy of companies has been a hot subject of focus for many economists. The rationale for developing and predicting the financial distress of a company is to develop a predictive model used to forecast the financial condition of a company by combining several econometric...

Persistent link: https://www.econbiz.de/10012174130

Predicting insolvency of the construction companies in the creditworthiness assessment process : empirical evidence from Poland

Balina, Rafał; Idasz-Balina, Marta; Achsani, Noer Azam - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-16

Prediction insolvency is one of the most important issues during creditworthiness assessment, especially in the turmoil … environment. That is why the problem of insolvency and bankruptcy prediction has been the subject of numerous studies focused on … effectively used in practice to analyze and signal the risk of insolvency and bankruptcy of a construction firms. Also, the …

Persistent link: https://www.econbiz.de/10012628749

Determinants of the economic vulnerability of businesses to pandemics and similar events

Tisdell, Clement A. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13

After providing a general overview of factors that make businesses economically vulnerable to pandemics (such as COVID-19), this article identifies specific elements that increase the vulnerability of businesses to pandemics. These specifics include the extent to which the demand for their...

Persistent link: https://www.econbiz.de/10012795378

The impact of the Basel accord on Greek banks : a stress test study

Leventides, John; Donatou, Anna - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 181-197

In this paper, we study the impact of extreme events on the loan portfolios of the Greek banking system. These portfolios are grouped into three separate groups based on the size of the bank to which they belong, in particular, large, medium, and small size. A series of extreme scenarios was...

Persistent link: https://www.econbiz.de/10011545145

Regulatory responses by countries to banking/financial crises

Barth, James R. - In: Journal of risk and financial management : JRFM 13 (2020) 1/1, pp. 1-6

Banking/financial crises have occurred in countries at all levels of income and in all parts of the world. These crises not only occur too frequently, but also are too costly. Countries everywhere therefore have enacted laws that established regulatory authorities with responsibility to...

Persistent link: https://www.econbiz.de/10012173346

On the rising complexity of bank regulatory capital requirements : from global guidelines to their United States (US) implementation

Barth, James R.; Miller, Stephen Matteo - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-33

After the Latin American Debt Crisis of 1982, the official response worldwide turned to minimum capital standards to promote stable banking systems. Despite their existence, however, such standards have still not prevented periodic disruptions in the banking sectors of various countries. After...

Persistent link: https://www.econbiz.de/10011960612

Stochastic optimization system for bank reverse stress testing

Montesi, Giuseppe; Papiro, Giovanni; Fazzini, Massimiliano - In: Journal of risk and financial management : JRFM 13 (2020) 8/174, pp. 1-43

The recent evolution of prudential regulation establishes a new requirement for banks and supervisors to perform reverse stress test exercises in their risk assessment processes, aimed at detecting default or near-default scenarios. We propose a reverse stress test methodology based on a...

Persistent link: https://www.econbiz.de/10012322078

Modelling systemically important banks vis-à-vis the basel prudential guidelines

Salim, M. Zulkifli; Daly, Kevin James - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-20

Our paper investigates Indonesia's systemically important banks (SIBs) using theoretical approaches-CoVaR, marginal expected shortfall (MES), and SRISK-to compare with the Basel guidelines as benchmark. We use Indonesian banks' market and supervisory data over the 2008-2019 period. The research...

Persistent link: https://www.econbiz.de/10012622472

Probability of default and default correlations

Li, Weiping - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-19

We consider a system where the asset values of firms are correlated with the default thresholds. We first evaluate the probability of default of a single firm under the correlated assets assumptions. This extends Merton’s probability of default of a single firm under the independent asset...

Persistent link: https://www.econbiz.de/10011543135