scholarly journals Credit Risk Stress Testing of Commercial Banks in Tunisia

2018 ◽  
Vol 1 (1) ◽  
pp. 10
Author(s):  
Amel Ben Youssef
Keyword(s):  
Credit Risk ◽  
Commercial Banks ◽  
Fixed Effects ◽  
Stress Testing ◽  
Stress Test ◽  
Negative Relationship ◽  
Bank Loans ◽  
Economic Downturn ◽  
Stress Tests ◽  
Fixed Effects Model

<p><em>Stress tests of credit risk is greatly affected by data constraints in Tunisian banking system. Aiming to improve the assessment of credit risk in such conditions, we propose a model to conduct a macro stress test of credit risk for a sample of ten Tunisian commercial banks based on scenario analysis.</em></p><p><em>The approach consists first in explaining the credit risk for each bank in terms of macroeconomic and bank-specific variables through a static fixed effects model, second in a stress-testing exercise using the Monte Carlo Simulation for generating credit risk losses distributions in case of different scenarios and for determining unexpected losses for each bank. </em></p><p><em>The panel analysis applied suggests a robust negative relationship between the credit risk of bank loans and real GDP growth, with a lag response of four periods. In addition, return on assets ratio and bank size show significant negative effect on credit quality, while the net loans to total asset ratio is positively associated with it. </em></p><p><em>The credit risk stress testing results indicate that an adverse scenario of economic downturn produces increase of the frequency of the higher credit loss comparatively to the lower ones for all banks of the sample and that the estimated unexpected losses that would take place in a stress situation can be covered by available capital of these banks.</em></p>

Stress Testing and Bank Efficiency

2015 ◽  
Vol 2 (2) ◽  
pp. 1-20 ◽  
Author(s):  
Iftekhar Hasan ◽  
Fotios Pasiouras
Keyword(s):  
Cross Section ◽  
Cost Efficiency ◽  
Commercial Banks ◽  
Stress Testing ◽  
Stress Test ◽  
Allocative Efficiency ◽  
Data Envelopment ◽  
Stress Tests ◽  
Bank Efficiency ◽  
European Banks

This study examines whether and how the stress testing of European banks in 2010, 2011, and 2014 is related to their technical, allocative, and cost efficiency. Using a sample of large commercial banks operating in 20 European countries, and Data Envelopment Analysis (DEA), the authors perform comparisons between banks that were included in one of the three European stress tests and untested banks operating in the same countries. They estimate various specifications as for the inputs and outputs, cross-section and pooled estimations, and they also examine alternative samples as for the ownership of banks. In general, the authors conclude that banks included in the stress-test exercises are more efficient that their counterparties. The differences tend to be statistically significant in the case of allocative efficiency and cost efficiency, but not in the case of technical efficiency. With regards to the latter form of efficiency, the results depend upon the specification and the stress test in question.

Dampak Kebijakan Moneter Pada Output Di Negara-Negara ASEAN Tahun 1980-2014

2017 ◽  
Vol 4 (1) ◽  
pp. 58-70
Author(s):  
Nur Widiastuti
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Fixed Effects ◽  
Empirical Studies ◽  
Negative Relationship ◽  
Least Square ◽  
Fixed Effects Model ◽  
State Data ◽  
Ordinary Least Square ◽  
The Impact

The Impact of monetary Policy on Ouput is an ambiguous. The results of previous empirical studies indicate that the impact can be a positive or negative relationship. The purpose of this study is to investigate the impact of monetary policy on Output more detail. The variables to estimatate monetery poicy are used state and board interest rate andrate. This research is conducted by Ordinary Least Square or Instrumental Variabel, method for 5 countries ASEAN. The state data are estimated for the period of 1980 – 2014. Based on the results, it can be concluded that the impact of monetary policy on Output shown are varied.Keyword: Monetary Policy, Output, Panel Data, Fixed Effects Model

Solvency stress testing of Islamic commercial banks

2016 ◽  
Vol 7 (2) ◽  
pp. 112-147 ◽  
Author(s):  
Jamshaid Anwar Chattha ◽  
Simon Archer
Keyword(s):  
Commercial Banks ◽  
Stress Testing ◽  
Profit Sharing ◽  
Capital Requirements ◽  
Capital Adequacy ◽  
Stress Tests ◽  
Regulatory Requirement ◽  
Content Type ◽  
Numerical Example ◽  
Remedial Actions

Purpose This paper aims to provide a methodology for designing and conducting solvency stress tests, under the standardised approach as per IFSB-15, including the establishment of macro-financial links, running scenarios with variation of assumptions and stress scenario parameters; apply and illustrate this methodology by providing a stylised numerical example through a tractable Excel-based framework, through which Islamic Commercial Banks (ICBs) can introduce additional regulatory requirements and show that they would remain in compliance with all capital requirements after a moderate to severe shock; and identify the potential remedial actions that can be envisaged by an ICB. Design/methodology/approach The paper uses the data of the one of the groups to which certain amendments and related assumptions are applied to develop a stylised numerical example for solvency stress-testing purposes. The example uses a Stress Testing Matrix (STeM; a step-by-step approach) to illustrate the stress-testing process. The methodology of the paper uses a two-stage process. The first stage consists of calculating the capital adequacy ratio (CAR) of the ICB using the IFSB formulae, depending on how the profit sharing investment account (PSIA) are treated in the respective jurisdiction. The second stage is the application of the stress scenarios and shocks. Findings Taking into account the specificities of ICBs such as their use of PSIA, the results highlighted the sensitivity of the CAR of an ICB with respect to the changes in the values of alpha and the proportion of unrestricted PSIA on the funding side. The simulation also indicated that an ICB operating above the minimum CAR could be vulnerable to shocks of various degrees of gravity, thus bringing the CAR below the minimum regulatory requirement and necessitating appropriate remedial actions. Practical implications The paper highlights various implications and relationships arising out of stress testing for ICBs, including the vulnerability of an ICB under defined scenarios, demanding appropriate immediate remedial actions on future capital resources and capital needs. The findings of the paper provide a preliminary discussion on developing a comprehensive toolkit for the ICBs similar to what is developed by the International Monetary Fund Financial Sector Assessment Programme. Originality/value This paper focuses on the gap with respect to the stress testing of capital adequacy. The main contribution of the paper is twofold. The first is the development of an STeM – a step-by-step approach, which provides a method for simulating solvency (i.e. capital adequacy) stress tests for ICBs; the second is the demonstration of the potentially crucial impact of profit-sharing investment accounts and the way they are managed by ICBs (notably the smoothing of profit payouts) in assessing the capital adequacy of the ICBs.

Does Eco-Certification Correlate with Improved Financial Performance? Evidence From a Longitudinal Study in the US Hospital Industry

2021 ◽  
pp. 002073142110189
Author(s):  
Germán M. Izón ◽  
Nathaniel Islip
Keyword(s):  
Financial Performance ◽  
Fixed Effects ◽  
Negative Relationship ◽  
Cost Savings ◽  
The United States ◽  
Fixed Effects Model ◽  
Sustainable Practices ◽  
Production Externalities ◽  
Energy Star ◽  
Operating Margin

Health care-based negative production externalities, such as greenhouse gas emissions, underscore the need for hospitals to implement sustainable practices. Eco-certification has been adopted by a number of providers in an attempt, for instance, to curb energy consumption. While these strategies have been evaluated with respect to cost savings, their implications pertaining to hospitals’ financial viability remain unknown. We specify a fixed-effects model to estimate the correlation between Energy Star certification and 3 different hospitals’ financial performance measures (net patient revenue, operating expenses, and operating margin) in the United States between 2000 and 2016. The Energy Star participation indicators’ parameters imply that this type of eco-certification is associated with lower net patient revenue and lower operating expenses. However, the estimated negative relationship between eco-certification and operating margin suggests that the savings in operating expenses are not enough for a hospital to achieve higher margins. These findings may indicate that undertaking sustainable practices is partially related to intangible benefits such as community reputation and highlight the importance of government policies to financially support hospitals’ investments in green practices.

Determinants of commercial bank loan and advance disbursement: the case of private Ethiopian commercial banks

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Tekeste Birhanu ◽  
Sewunet Bosho Deressa ◽  
Hossein Azadi ◽  
Ants-Hannes Viira ◽  
Steven Van Passel ◽  
...  
Keyword(s):  
Credit Risk ◽  
Commercial Bank ◽  
Commercial Banks ◽  
Inflation Rate ◽  
Bank Loans ◽  
Bank Loan ◽  
Portfolio Investment ◽  
Negative Effects ◽  
Content Type ◽  
Lending Rate

PurposeThis paper aimed to investigate the determinants of loans and advances from commercial banks in the case of Ethiopian private commercial banks.Design/methodology/approachThe study randomly selected seven commercial banks to represent the population stratified on their asset, deposit and paid-up capital amounts. The study utilized an unbalanced panel data model as each bank started operation at a different period of time and considered the period 1995–2016 for secondary details.FindingsThe findings showed that the deposit size, credit risk, portfolio investment, average lending rate, real gross domestic product (GDP) and inflation rate had significant and optimistic effects on the lending and advancement of private commercial banks. On the contrary, liquidity ratio had significant and negative effects on private commercial bank loans and advances. Finally, the study forwarded a feasible recommendation for concerned organs to focus on deposit size, credit risk, portfolio investment, average lending rate, real GDP, inflation rate and liquidity ratio. The results of this study will help banking industry policymakers and planners understand how to minimize inflation and unemployment by improving development and sustainable economic growth.Originality/valueThe findings of this study can also affect the general attitudes of a society by increasing knowledge and improve the quality of life for the general public.

Abstract 17369: Addressing Missed Opportunities for Cardiometabolic Primary Prevention of Veterans Referred for Stress Testing

Circulation ◽  
2020 ◽  
Vol 142 (Suppl_3) ◽  
Author(s):  
Ysanne Johnson ◽  
Sheila M Mattei ◽  
Matthew Burg ◽  
Judith L Meadows
Keyword(s):  
Risk Reduction ◽  
Stress Testing ◽  
Stress Test ◽  
Standard Of Care ◽  
Low Risk ◽  
Stress Tests ◽  
Missed Opportunities ◽  
Presenting Symptoms ◽  
Reduction Strategies ◽  
Risk Reduction Strategies

Introduction: Patients presenting to stress testing have a high prevalence of cardiometabolic risk factors (RF) which are not at guideline supported goals. Referral to stress testing is often a patient’s first presentation to CV care and represents a missed opportunity for delivery of risk reduction strategies. Hypothesis: Implementation of a cardiometabolic prevention initiative for cardiology-naïve patients referred to stress testing will result in improved delivery of guideline-directed prevention care. Methods: A consecutive prospective cohort of patients who underwent stress testing (12/1/2019-1/31/2020) after implementation of a linked cardiometabolic prevention referral for those with low risk stress tests was compared to a retrospective standard of care (SOC) cohort (9/1/2019-10/1/2019) from a single center Veterans Hospital. Outcomes assessed were change in CV risk reduction care at 90 days following stress test. Results: Of 181 patients, 62.5% were naïve to cardiology specialty care, had >1 CV risk factor not meeting guideline goals, 6% had typical angina as presenting symptoms, and greater than 70% of stress tests were normal or low risk. Baseline CV RF were common and failed to reach goals in SOC and intervention cohorts respectively with LDL above goal (40 vs. 33%), stage 1 or greater hypertension (67 vs 81%), Diabetes with HgA1c > 7 (48 vs. 21%), overweight or obese (68 vs. 79%), current tobacco (11 vs. 12%), and elevated mean 10-year ASCVD risk (32 vs.20%). At 90 days, 28% of SOC cohort had intensification of CV prevention care as compared to 76% of intervention cohort (X 2 26.8, p<0.05). Conclusions: A stress testing setting represents a valuable opportunity to deliver cardiometabolic prevention care. Integration of risk reduction strategies is imperative to shift from cardiac disease management to patient centered health promotion.

scholarly journals The relationship between debt and a firm’s performance: the impact of institutional factors

2019 ◽  
Vol 45 (9) ◽  
pp. 1272-1291 ◽  
Author(s):  
Rosa Forte ◽  
José Miguel Tavares
Keyword(s):  
Fixed Effects ◽  
Negative Relationship ◽  
Research Area ◽  
Institutional Framework ◽  
Market Regulation ◽  
Fixed Effects Model ◽  
Content Type ◽  
Macroeconomic Variables ◽  
The Impact ◽  
The Relationship

Purpose The purpose of this paper is to contribute to the existing literature on the relationship between debt and firms’ performance, by focusing on the influence of the institutional framework on this relationship and on the role of macroeconomic variables in explaining performance. Design/methodology/approach The present work is based on a large sample of 48,840 manufacturing firms from nine European countries covering the 2008–2013 period and uses a fixed effects model. Findings Results show that the impact of debt on a firm’s performance depends on the measure of debt (short-term debt positively affects a firm’s performance, whereas long-term debt presents a negative relationship) and that the institutional framework is indeed affecting the relationship between debt and a firm’s performance: the positive effect of debt on a firm’s performance tends to be higher the greater the “efficiency of the legal system” and the greater the “credit market regulation.” Macroeconomic variables also play a key role in explaining performance. Originality/value Unlike most of the existing studies, which focus only on the relationship between debt and firms’ performance in a single country, the present work uses a sample of firms from nine countries with the purpose of filling a research gap and bringing new empirical evidence to this research area.

scholarly journals Are Cooperative Banks Better Equipped to Weather Financial Crisis than their Commercial Counterparts? Evidence from the Italian Banking Sector before and during the Credit Crisis

Organizacija ◽  
2016 ◽  
Vol 49 (2) ◽  
pp. 108-126
Author(s):  
Mitja Stefancic
Keyword(s):  
Financial Crisis ◽  
Cost Efficiency ◽  
Commercial Banks ◽  
Fixed Effects ◽  
Banking Sector ◽  
Policy Implications ◽  
Business Strategies ◽  
Economic Downturn ◽  
Credit Crisis ◽  
Cooperative Banks

Abstract Background and Purpose: The aim of this paper is to empirically investigate the performance of different types of Italian banks before and during the recent credit crisis with an emphasis on the behaviour of cooperative banks. It is well established in theory that cooperative banks follow more conservative business strategies and care more for stakeholders in comparison to commercial banks. On this background, the paper tries to show the empirical effects of those characteristics on the cooperative bank’s performance during financial distress compared to commercial banks. In fact, the paper can prove that Italian cooperative banks were less exposed to the shocks of the crisis and showed a better performance. Methodology: In order to assess whether cooperative banks performed differently at all from commercial banks during the 2005-2012 period, return on average assets (ROAA), cost efficiency and loan quality have been investigated by means of a sample of 594 Italian banks, pooled OLS and (when possible) a fixed effects estimator. Results: Overall, Italian cooperative banks performed better than other Italian banks during the financial crisis. The quality of loans deteriorated less in these banks than in others, while no significant differences have been observed in terms of ROAA and cost efficiency between these and other banks. Conclusion: My paper provides empirical evidence for a well established theoretically derived hypothesis: Italian cooperative banks operate differently than standard commercial banks which is especially noticeable during times of crisis. The fact empirically demonstrated that different banking models have shown different reactions to the financial crisis and economic downturn has important policy implications. Due to both characteristics of cooperative banks and severe limitations in the financial policies by the Italian government during the credit crisis an ironical pattern has emerged: While Italian cooperative banks were less exposed to the shocks of the crisis, they would have been less able to adjust to them since the financial rescue program was designed primarily for commercial banks.

scholarly journals Risks Of Sharia Commercial Bank In Indonesia: Analysis Of Internal And External Factors

2019 ◽  
Vol 1 (1) ◽  
pp. 81-94
Author(s):  
Erlinda Kurnia Aufa ◽  
Cita Sary Dja'akum
Keyword(s):  
Commercial Bank ◽  
Commercial Banks ◽  
Fixed Effects ◽  
External Factors ◽  
Capital Adequacy ◽  
Research Approach ◽  
Fixed Effects Model ◽  
Significant Negative Effect ◽  
Negative Effect ◽  
Internal And External Factors

Purpose - This study aims to analyze the effect of inflation, gross domestic product (GDP), capital adequacy ratio (CAR), and financing to deposit ratio (FDR) to non performing financing (NPF) at Islamic Commercial Banks in Indonesia.Method - The research approach used is a quantitative approach. Determination of samples is done by purposive sampling method. The data used is secondary data, obtained from publication reports on the official website of each Sharia Commercial Bank, Bank Indonesia, and the Central Statistics Agency. The population in this study were all Islamic Commercial Banks registered in the Statistics of Islamic Banking in Indonesia for the period 2013-2017. Based on the specified criteria, five Sharia Commercial Banks were obtained as research samples. This study uses panel data regression analysis with the Fixed Effects Model approach which is processed through the Eviews 10 program.Result - The results of hypothesis testing show that partially Inflation has a positive but not significant effect on NPF, GDP has a significant negative effect on NPF, CAR has a negative but not significant effect on NPF, and FDR has a significant negative effect on NPF. Simultaneously inflation, GDP, CAR, and FDR have a significant effect on NPF.Implication - This study uses all data from commercial Islamic bank.Originality - This study analyzes the determining factors that influence financing risks from both internal and external factors.

scholarly journals Risks Of Sharia Commercial Bank In Indonesia: Analysis Of Internal And External Factors

2019 ◽  
Vol 1 (1) ◽  
pp. 81
Author(s):  
Erlinda Kurnia Aufa ◽  
Cita Sary Dja'akum
Keyword(s):  
Commercial Bank ◽  
Commercial Banks ◽  
Fixed Effects ◽  
External Factors ◽  
Capital Adequacy ◽  
Research Approach ◽  
Fixed Effects Model ◽  
Significant Negative Effect ◽  
Negative Effect ◽  
Internal And External Factors

<p class="IABSSS"><strong>Purpose</strong> - This study aims to analyze the effect of inflation, gross domestic product (GDP), capital adequacy ratio (CAR), and financing to deposit ratio (FDR) to non performing financing (NPF) at Islamic Commercial Banks in Indonesia.</p><p class="IABSSS"><strong>Method</strong><strong> </strong>- The research approach used is a quantitative approach. Determination of samples is done by purposive sampling method. The data used is secondary data, obtained from publication reports on the official website of each Sharia Commercial Bank, Bank Indonesia, and the Central Statistics Agency. The population in this study were all Islamic Commercial Banks registered in the Statistics of Islamic Banking in Indonesia for the period 2013-2017. Based on the specified criteria, five Sharia Commercial Banks were obtained as research samples. This study uses panel data regression analysis with the Fixed Effects Model approach which is processed through the Eviews 10 program.</p><p class="IABSSS"><strong>Result</strong><strong> </strong>- The results of hypothesis testing show that partially Inflation has a positive but not significant effect on NPF, GDP has a significant negative effect on NPF, CAR has a negative but not significant effect on NPF, and FDR has a significant negative effect on NPF. Simultaneously inflation, GDP, CAR, and FDR have a significant effect on NPF.</p><p class="IABSSS"><strong>Implication</strong> - This study uses all data from commercial Islamic bank.</p><strong>Originality</strong> - This study analyzes the determining factors that influence financing risks from both internal and external factors.

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