Bank Size, Credit Risk and Bank Profitability in Vietnam
نویسندگان
چکیده
منابع مشابه
Bank size, credit and the sources of bank market risk, November 2007
This study examines bank risk by investigating the equity and loan portfolio characteristics of publicly-traded bank holding companies. Unlike the pattern for non-financial firms, equity betas of large banks are two to five times greater than those of small banks. In explaining this, we note that regulation imposes an effective cap on banks’ equity volatility. Because the portfolios of small ba...
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We study the difference between loan sales and credit default swaps. A bank lends money to an entrepreneur to undertake a positive NPV project. After the loan has been made, the bank finds out if the project benefits from monitoring and if it should sell the loan to release regulatory capital. A bank can lay off credit risk by either selling the loan or by buying credit insurance through a cred...
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We present a banking model with imperfect competition in which borrowers’ access to credit is improved when banks are able to transfer credit risks. However, the market for credit risk transfer (CRT) works smoothly only if the quality of loans is public information. If the quality of loans is private information, banks have an incentive to grant unprofitable loans in order to transfer them to o...
متن کاملBank Risk: Does Size Matter?
The size of banks is examined as a determinant of bank risk. A wide range of banks are examined across four regions, including Australia, Canada, Europe and the USA. Four risk metrics are considered including Value at Risk (VaR), Conditional Value at Risk (CVaR, which measures risk beyond VaR), Probability of Default (PD) using Merton structural methodology, and Conditional Probability of Defau...
متن کاملOn Credit Spread Slopes andPredicting Bank Risk
We examine whether credit-spread curves, engendered by a mandatory subordinated-debt requirement for banks, would help predict bank risk. We extract the credit-spread curves each quarter for each bank in our sample, and analyze the information content of credit-spread slopes. We find that credit-spread slopes are significant predictors of future credit spreads. However, credit-spread slopes do ...
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ژورنال
عنوان ژورنال: Malaysian Journal of Economic Studies
سال: 2020
ISSN: 1511-4554
DOI: 10.22452/mjes.vol57no2.4