The dependency measures of commercial bank risks: Using an optimal copula selection method based on non-parametric kernel density

2020 ◽  
Vol 37 ◽  
pp. 101706
Author(s):  
Chenglu Jin ◽  
Rongda Chen ◽  
Diandian Cheng ◽  
Sitian Mo ◽  
Ke Yang
Keyword(s):  
Commercial Bank ◽  
Kernel Density ◽  
Selection Method ◽  
Bank Risks ◽  
Non Parametric

scholarly journals Explaining Disparities in AH Stock Premium Returns with Chinese Economic Policy Uncertainty: Evidence Based on a Non-Parametric Analysis

2019 ◽  
Vol 23 (4) ◽  
pp. 658-666 ◽  
Author(s):  
Mohib Ur Rahman ◽  
Bing Xu ◽  
Yuan Xiao ◽  
Wen-Tsung Lai ◽  
◽  
...  
Keyword(s):  
Economic Policy ◽  
Parameter Uncertainty ◽  
Parametric Analysis ◽  
Kernel Density ◽  
Evidence Based ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
Premium Puzzle ◽  
The Impact ◽  
Non Parametric

This paper empirically investigates the AH share premium puzzle considering the impact of economic policy uncertainty (EPU) in China, using Hang Seng AH premium (HSAHP) index data from March 2011 to June 2018. Specifically, the index of Baker, Bloom, and Davis is used as a proxy for EPU in China. The data has been divided into two periods: 0 and 1. Period 0 includes data before the launch of the stock connect program and spans from March 2011 to October 2014, while period 1 represents data from after the launch of stock connect program and spans from November 2014 to June 2018. To more robustly test the change in AH premiums after the “connect” is launched; we evaluate the impact of Chinese EPU using non-parametric kernel density estimation. The empirical results show that parameter uncertainty explains variations in price disparity and can significantly reduce the returns of the AH share premium index.

scholarly journals DIRECTIONS FOR IMPROVEMENT OF BANKING RISK MANAGEMENT

2021 ◽  
Vol 6 (1(29)) ◽  
pp. 4-6
Author(s):  
Elena Vasilievna Chaikina ◽  
Alina Nikolaevna Makhota
Keyword(s):  
Risk Management ◽  
Commercial Bank ◽  
Management System ◽  
Financial System ◽  
Bank Risk ◽  
Direct Impact ◽  
Financial Situation ◽  
Risk Management System ◽  
Banking Risk ◽  
Bank Risks

Banking risks are one of the most important problems of credit institutions, as they have a direct impact on the financial situation of a commercial bank and the entire financial system of our country. This article discusses the essence of banking risk, its types and causes. The reasons for the occurrence of bank risks of both external and internal nature are summarized. The principles of creating an effective risk management system are systematized. Strategic and tactical methods and tools of risk management are summarized. The mandatory elements of improving the efficiency of the bank risk management system are identified.

Trends in Income Distribution in Italy: A Non-Parametric 90 and a Semi-Parametric Analysis

2006 ◽  
pp. 90
Author(s):  
Maria Grazia Pittau ◽  
Roberto Zelli
Keyword(s):  
Parametric Analysis ◽  
Compositional Data ◽  
Good Reason ◽  
Kernel Density ◽  
Finite Mixture ◽  
Compositional Data Analysis ◽  
Parametric Test ◽  
Mixture Density ◽  
Income Distributions ◽  
Non Parametric

Using kernel density estimation and mixture models, household size-adjusted income distributions in Italy are cross-sectionally examined over the period 1987-2002. A non-parametric test is used to assess the number of modes in the distributions. Evidence shows that income tends to cluster around more than one point. This gives good reason to model the shapes by a finite mixture density with an appropriate choice of components which represent homogeneous sub-populations. Effects of social and demographic factors on the probability of households to belong to one of the components of the mixture are identified by a compositional data analysis.

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