Powell, Robert J.
[VerfasserIn]
;
Kramadibrata, Akhmad
[Sonstige Person, Familie und Körperschaft];
Allen, David E.
[Sonstige Person, Familie und Körperschaft];
Singh, Abhay Kumar
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November, 27 2011 erstellt
Beschreibung:
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 Default (CPD, the author's own model which measures risk based on extreme asset value fluctuations. Daily equity and asset value fluctuations are included in the analysis, including pre-GFC and GFC periods. In addition to examining size in isolation as a determinant of bank risk, the paper uses fixed effects panel data regression to examine the significance of size as a risk determinant in conjunction with a range of other independent variables. The study finds mixed results among the four regions with no conclusive evidence of significant association between size and risk