This paper investigates sensitivity of the VaR models when return series of stocks and stock indices are not normally distributed. It also studies the effect of market capitalization of stocks and stock indices on their Value at risk and Conditional VaR estimation. Three different market...

This research paper empirically shows that unemployment is significant in determining both consumer bankruptcy filings and delinquency even after controlling for household demographics. Furthermore, I show that unemployment and the debt/wealth ratio also affect the choice of whether to file for...

The literature measures a bank's market power using aggregated data at the bank level. However, market power may be exercised in a decentralized way by each bank branch and for specific banking products. This article proposes a novel methodology for estimating a bank's market power at the branch...

The paper deals with the role of the isomorphism and homomorphism in the theory and practice of simulation. These concepts are considered as a methodological framework for models adequacy evaluation and for their suitability extent estimation to the study and improvement of economic systems,...

This paper examines the empirical association between public issue and economic development (GDP) during the period 1989-2009. With help of log-lin regression model, we found that public issue had a positive significant impact on India’s economic development during this period, which survives...

The purpose of this study is twofold. First, construct a leading indicator based on news headlines, and second, examine whether this novel indicator affects Greek bank deposit flows’ trajectory. Employing alternative econometric methodologies, we find that this index proxies for depositors’...

Economic growth is reflected in SDG8 of the sustainable development goals. Financial stability has been identified as a factor promoting economic growth. However, there is little evidence on the effect of financial stability on economic growth in Nigeria. This study empirically examines the...

The study presents a review of existing research on bank profitability determinants in Africa. Using the literature review methodology, it was found that bank profitability determinants differ across countries in all regions of Africa. Some suggested areas for future research are to explore the...

This paper explores the critical role of the banking sector in facilitating the ecological transition through the integration of ESG (Environmental, Social, and Governance) factors. By analyzing the intersection of ESG considerations and access to credit globally, the study highlights how banks...

This study investigates whether the competence of central bank governors affect the stability of the financial system they are responsible for. Using publicly available information about central bank governors from 2000 to 2016 together with data on financial stability and the macro-economy, the...