Statistical Methods of Analyzing Financial Equilibrium, Performance and Risk, 2nd Edition

A special issue of Mathematics (ISSN 2227-7390). This special issue belongs to the section "Financial Mathematics".

Deadline for manuscript submissions: 31 July 2024 | Viewed by 665

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Department of Business, Faculty of Business, Babes-Bolyai University, 7 Horea Street, 400174 Cluj-Napoca, Romania
Interests: tax behavior; financial analysis; game theory; neuroeconomics; cognitive neuroscience
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Special Issue Information

Dear Colleagues,

The launch, development, and long-term survival of any business depends on how efficiently an economic agent monitors key aspects such as financial equilibrium, financial performance, and their intertwined relationship. In addition, approaches regarding risks are equally important since the lack of proper risk management tools could compromise the very existence of any business. Moreover, in the global, interconnected, and increasingly digitalized economies of today, with businesses operating on markets with imperfect and incomplete information, risk monitoring and risk modeling can provide vital information about the overall state of the economy. For that matter, public authorities, professionals, businesspeople, and the public alike are particularly interested in the triad of equilibrium–performance–risk.

This Special Issue will closely analyze the most important determinants of financial equilibrium, financial performance, and risk through novel and distinctive statistical advances. Consequently, this Special Issue welcomes articles that tackle (but are not limited to) the econometric modeling of financial equilibrium, performance, and risk, insights on portfolio management, risk management on stock markets, risk management in the banking system, risk management during periods of crises, and stock market indices.

Dr. Larissa Margareta Batrancea
Guest Editor

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Keywords

  • econometric modeling
  • portfolio management
  • stock markets
  • stock market index
  • financial equilibrium
  • financial performance
  • risk
  • risk management
  • value-at-risk
  • risky assets
  • risk-free assets
  • banking

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Published Papers (1 paper)

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Research

17 pages, 688 KiB  
Article
Modelling Profitability Determinants in the Banking Sector: The Case of the Eurozone
by Vera Mirović, Branimir Kalaš, Nada Milenković, Jelena Andrašić and Miloš Đaković
Mathematics 2024, 12(6), 897; https://doi.org/10.3390/math12060897 - 18 Mar 2024
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Abstract
The aim of this study is to analyze which factors affect the profitability of banks in the eurozone and to make recommendations for supporting them to achieve higher levels of profitability in particular eurozone countries. The banks operating in the eurozone are specific [...] Read more.
The aim of this study is to analyze which factors affect the profitability of banks in the eurozone and to make recommendations for supporting them to achieve higher levels of profitability in particular eurozone countries. The banks operating in the eurozone are specific that they are under one monetary policy. The main purpose of the banks’ profitability analysis is to identify main bank-specific and macroeconomic determinants and help bank management to more fully comprehend their importance of bank-specific determinants and macroeconomic determinants’ influence when measuring and evaluating bank profitability. For the purpose of this research, we analyze the impact of bank-specific determinants (NPL, CIR, NIM, NIF and NIT) and macroeconomic determinants (GDP, INF, UNM and DEBT) on bank profitability in the eurozone for the period of 2015–2020 using a random effects model, fixed effects model, and the general method of moments (GMM). This empirical research analyzed quarterly data series from Eurostat for eighteen countries in the eurozone. We came to the results that on the eurozone-level NPL, the cost-to-income ratio has a negative impact on the banks’ profitability, while the net interest income to the operating income, the net income for trading assets to the operating income and the net fee and commission income to the operating income have a positive impact on the banks’ profitability. Considering the macroeconomic variables, we found a positive impact only in the case of GDP, while the inflation rate, unemployment rate and gross government debt have shown a negative impact on the banks’ profitability. The main contribution of this study implies different panel techniques with two uncommonly used macroeconomic variables such as the unemployment rate and debt ratio. The results on the country level differ from country to country and these findings can give a lead to policy makers on the national level on how to enhance the banks’ profitability levels. Full article
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