Measuring Excessive Risk-Taking in Banking
AbstractIn this paper the authors propose a new approach to the assessment of excessive risk-taking by a banking sector. They use the portfolio approach to assess the optimal risk-return combination of a bank’s portfolio, based on data for 32 categories of loans. It provides a benchmark for the optimality of the bank’s portfolio. The authors apply this method on an exhaustive sample of Czech banks for the period January 2005–February 2008. They observe an average excess of risk-taking of 33% of the optimal risk and a slight reduction of this excess risk over the analyzed period.
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Bibliographic InfoArticle provided by Charles University Prague, Faculty of Social Sciences in its journal Finance a uver - Czech Journal of Economics and Finance.
Volume (Year): 60 (2010)
Issue (Month): 4 (November)
bank; financial stability; risk-taking; transition countries;
Other versions of this item:
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- P20 - Economic Systems - - Socialist Systems and Transition Economies - - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Elsevier, vol. 26(5), pages 825-855, May.
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