January 2022 - 22 articles
This paper uses three methodologies for measuring the existence of systemic risk in the Colombian banking system. The determination of its existence is based on implementing three systemic risk measures widely referenced in academic works after the s...
The purpose of this work is to investigate the influence of macroeconomics determinants on non-performing loans (NPLs) in the Italian banking system over the period 2008Q3–2020Q4. We mainly contribute to the literature by being the first empiri...
The question of whether environmental, social, and governance investments outperform or underperform other conventional financial investments has been debated in the literature. In this study, we compare the volatility of rates of return of selected...
Quantile regression provides a way to estimate a driver’s risk of a traffic accident by means of predicting the percentile of observed distance driven above the legal speed limits over a one year time interval, conditional on some given charact...
This study on explaining aggregated recovery rates (ARR) is based on the largest existing loss and recovery database for commercial loans provided by Global Credit Data, which includes defaults from 5 continents and over 120 countries. The dependence...
This paper focuses on the problem of the high financial risks of agricultural entrepreneurship, which hinder the sustainable development of agriculture and do not provide food security. This problem is especially topical in the conditions of the COVI...
After the financial crisis, the European Banking Authority (EBA) has established tighter standards around the definition of default (Capital Requirements Regulation CRR Article 178, EBA/GL/2017/16) to increase the degree of comparability and consiste...
The main purpose of this study was to explore the relationship between market and accounting measures of risk and the profitability of companies listed on the Frankfurt Stock Exchange. An important aspect of the study was to employ accounting beta co...
This paper investigates the optimal asset allocation of a financial institution whose customers are free to withdraw their capital-guaranteed financial contracts at any time. In accounting for the asset-liability mismatch risk of the institution, we...
The motivation of this research consists in the following: the traditional commercial approach to financial risk management amid economic crises implies the reduction of corporate social responsibility, based on the assumption that this responsibilit...
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