How Much of Bank Credit Risk Is Sovereign Risk? Evidence from Europe

Li, Junye; Zinna, Gabriele

doi:10.1111/jmcb.12492

Cited by 16 publications

(5 citation statements)

References 79 publications

(158 reference statements)

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“…The results indicate that the relationship between GOV, AVA, and inequality is complex and level-dependent. These ndings are also consistent with previous ndings of a negative relationship between GOV and income inequality (e.g., Breen and Gillanders, 2016;Li et al, 2018) and highlight the signi cance of examining GOV as a critical determinant of inequality. At lower levels of GOV, enhancements can reduce income inequality, whereas, at higher levels, improvements can increase income inequality.…”

Section: Threshold Regressionsupporting

confidence: 91%

The Impact of governance on agricultural value-added inequality nexus in Pakistan

Khan

Chiu

2023

Preprint

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This study empirically investigates the intricate relationship between governance (GOV), agricultural value-added (AVA), and income inequality in Pakistan from 1984 to 2018. The study employed a time series threshold regression estimates technique to investigate non-linear dynamics among the variables. The results indicate that the relationship between GOV and income inequality is not linear and dependent on the level of GOV. The empirical results show that GOV improvements reduce income inequality at lower threshold levels. However, at a higher threshold level, GOV improvements can lead to an increase in income inequality. These findings suggest that policy efforts to decrease income disparity in Pakistan should consider both the state of GOV and supplemental measures to reduce inequality successfully. The study further employed the Atkinson and Palam ratio other than the Gini coefficient for reliability. The diagnostic tests show that the model is well-specified and robust. The results further provide some crucial guidelines for reducing income inequality in Pakistan.

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Section: Threshold Regressionsupporting

confidence: 91%

The Impact of governance on agricultural value-added inequality nexus in Pakistan

Khan

Chiu

2023

Preprint

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“…Theoretically, the effects of prudential policy on sovereign bond vulnerability may arise from several sources. First, sovereign risk is highly related to bank risk (Li and Zinna 2018). Macroprudential policies reduce leverage and bank risk, thereby mitigating financial system vulnerabilities (Farhi and Tirole 2012).…”

Section: Introductionmentioning

confidence: 99%

Effect of Macroprudential Policies on Sovereign Bond Markets: Evidence from the Asean-4 Countries

et al. 2022

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“…The solution to this, today an acute problem, is possible by automating the overdue debts recovery process (Li and Zinna 2018). Thus, the development of scoring systems provides an opportunity to automate this work through the introduction of collector scoring systems in the practice of commercial banks.…”

Section: Introductionmentioning

confidence: 99%

Model of Assessing the Overdue Debts in a Commercial Bank Using Neuro-Fuzzy Technologies

Kovalenko

Afanasieva

Zabuta

et al. 2021

JRFM

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This article considers the problems of overdue credit debt and the creation of effective methods to manage problem debts in banks. The purpose of this paper is to study the problem of overdue credit debt and create effective methods to manage problem debts in financial institutions. Based on a combination of tools of fuzzy logic theory and artificial neural networks, an economic-mathematical model of collection scoring was built. Kohonen self-organizing maps were used to set the parameters of membership functions in the process of fuzzification of quantitative variables of the built model. Data were taken from the official websites of four Bulgarian banks for 2015–2019. The volume of the prepared sample amounted to 1000 credit agreements with active overdue payments. The practical value of the built model of collection scoring for the recovery of overdue debt lies in the possibility to make recommendations for work with each segment of the portfolio of overdue loans in accordance with the calculated level of credit risk. The introduction of credit risk assessment models based on neuro-fuzzy technologies in the work of financial institutions will have a positive impact on the financial results of lending activities of banks.

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How Much of Bank Credit Risk Is Sovereign Risk? Evidence from Europe

Cited by 16 publications

References 79 publications

The Impact of governance on agricultural value-added inequality nexus in Pakistan

The Impact of governance on agricultural value-added inequality nexus in Pakistan

Effect of Macroprudential Policies on Sovereign Bond Markets: Evidence from the Asean-4 Countries

Model of Assessing the Overdue Debts in a Commercial Bank Using Neuro-Fuzzy Technologies

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