Document Type
Conference Proceeding
Faculty
Faculty of Business and Law
School
School of Accounting, Finance and Economics / Finance, Economics, Markets and Accounting Research Centre
RAS ID
12930
Abstract
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.
Access Rights
free_to_read
Comments
This is an Author's Accepted Manuscript of: Allen, D. E., Kramadibrata, A. R., Powell, R.J. , & Singh, A.K. (2011). Bank risk: does size matter?. Paper presented at the 2011 Australasian Meetings of the Econometric Society. Adelaide, Australia. Available here
The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org/. It may be downloaded, printed and reproduced only for personal or classroom use. Absolutely no downloading or copying may be done for, or on behalf of, any for-profit commercial firm or for other commercial purpose without the explicit permission of the Econometric Society.