The Risks of Financial Institutions

Stulz, René M.; Carey, Mark

doi:10.2139/ssrn.743130

Cited by 4 publications

(2 citation statements)

References 31 publications

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“…The present research was carried out at the level of the Romanian banking system. At the same time, Stulz & Carey (2006) demonstrated that at the level of the banking system, as a result of a crisis, excessive risk exposure could manifest itself, all the more so as banks usually face a range of risks. Wider risks (lending rate, operational risk, market risk, etc.)…”

Section: Fig 2 -Scatterplot Source: Own Researchmentioning

confidence: 99%

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The Impact of Competition and Risk Exposure on Profitability of the Romanian Banking System During the COVID-19 Pandemic

Dinu¹,

Bunea²

2022

JOC

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In the context of the economic uncertainty generated at the national level and caused not only by the COVID-19 pandemic, for a healthy evolution of business relations in the competitive environment, for resilience and survival in this context of the pandemic and efforts to counteract possible financial losses, optimal risk management plays a key role in the banking system to avoid excessive exposure with a negative impact on financial performance. The present research aimed to provide an analysis of the potential relationship between the competition presented on the example of the Romanian banking market (before the onset of the COVID-19 pandemic and after its start), risk management in terms of risk-weighted assets (credit risk, market risk and operational risk), on one hand, and the profitability of the banking system measured by the ROA (return on assets) indicator, on the other. In order to test the formulated hypotheses, the authors used a predominantly quantitative research methodology based on a statistically deductive analysis with a series of testing objectives and potential cause-effect links. The results of this study indicate, before the onset of the COVID-19 pandemic, the existence of a significant intensity correlation between the banks’ exposure to the total risk (RWA) (risk-weighted assets) and the market share (as dependent variables) and the banking performance indicator (ROA) (as an independent variable) and, after the onset of the COVID 19 pandemic, banks’ exposure to the credit risk, together with the position on the banking market.

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Section: Fig 2 -Scatterplot Source: Own Researchmentioning

confidence: 99%

“…At the level of the banking system, there may be excessive risk exposure because the banks usually face a wider range of risks (e.g., lending rate, operational risk, market risk, etc.) that are strongly interconnected with the activities of the business environment, clients, legal entities or individuals (Stulz & Carey, 2006).…”

Section: Introductionmentioning

confidence: 99%

The Impact of Competition and Risk Exposure on Profitability of the Romanian Banking System During the COVID-19 Pandemic

Dinu¹,

Bunea²

2022

JOC

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Which Hedge Fund Managers Deliver in a Crisis? Assessing Performance When Returns are Skewed

Heuson

2011

SSRN Journal

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Systemic Risk and Cross-Sectional Hedge Fund Returns

Brown

Hwang

et al. 2013

SSRN Journal

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This paper examines the cross-sectional relation between hedge fund returns and systemic risk. Measuring the systemic risk of an individual hedge fund by using the marginal expected shortfall (MES), we find evidence for a positive and statistically significant relation between systemic risk and hedge fund returns. The risk-adjusted return of a hedge fund portfolio with a high systemic risk is 0.64% per month higher than for one with a low systemic risk during 1994-2012, while negative performance is observed during crisis periods. The relation between systemic risk and hedge fund returns holds for both live and defunct funds. Moreover, the relation holds even after controlling for a large set of fund characteristics. Hence, systemic risk is a powerful determinant of cross-sectional variations in hedge fund returns. Our results imply that the positive relation between hedge fund returns and systemic risk is due to compensation for the realized losses during systemic events.

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The Risks of Financial Institutions

Cited by 4 publications

References 31 publications

The Impact of Competition and Risk Exposure on Profitability of the Romanian Banking System During the COVID-19 Pandemic

The Impact of Competition and Risk Exposure on Profitability of the Romanian Banking System During the COVID-19 Pandemic

Which Hedge Fund Managers Deliver in a Crisis? Assessing Performance When Returns are Skewed

Systemic Risk and Cross-Sectional Hedge Fund Returns

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