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An Empirical Model for Assesing Risk and Performance in the Romanian Banking System

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Author Info

  • Ioan TRENCA
  • Simona MUTU

    (Babes-Bolyai University, Cluj-Napoca)

Abstract

The bank management must decide the proportion placed in different assets and liabilities in order to achieve the desired profitability level and to respect the liquidity, solvency and prudential requirements. Regarding these proportions, the objective of our article is to present a framework for modeling the risk-efficiency relationship for the Romanian banking system. To test the relationship between risk and performance we have performed the Granger causality test and the Vector Autoregressive representation for several risk and profitability variables of the Romanian banks. The result revealed significant causalities between risk and performance ratios in the 2007-2010 period.

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Bibliographic Info

Article provided by University of Craiova, Faculty of Economics and Business Administration in its journal Finance - Challenges of the Future.

Volume (Year): 1 (2011)
Issue (Month): 13 (December)
Pages: 89-95

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Handle: RePEc:aio:fpvfcf:v:1:y:2011:i:13:p:89-95

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Keywords: bank performance; VAR models; Granger causality;

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