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Full-Text Articles in Finance and Financial Management
Federal Home Loan Bank Advances And Bank And Thrift Holding Company Risk: Evidence From The Stock Market, Scott Deacle, Elyas Elyasiani
Federal Home Loan Bank Advances And Bank And Thrift Holding Company Risk: Evidence From The Stock Market, Scott Deacle, Elyas Elyasiani
Business and Economics Faculty Publications
Using bivariate GARCH models of stock portfolio returns and risk, we find that bank and thrift holding companies that relied the most on Federal Home Loan Bank (FHLB) advances exhibited less total risk and market risk than those that relied on them the least between 2001 and 2012. When we control for differences in holding company size, stock trading volume, residential mortgage lending, and holding company type (bank vs. thrift), the most FHLB-reliant holding companies sustain the aforesaid risk advantages except during the crisis of 2007–2009, when they exhibit greater idiosyncratic risk. The latter finding suggests that investors perceived the …
Risk Management And Capital Adequacy In Turkish Participation And Conventional Banks: A Comparative Stress Testing Analysis, M.Kabir Hassan, Omer Unsal, Hikmet Emre Tamer
Risk Management And Capital Adequacy In Turkish Participation And Conventional Banks: A Comparative Stress Testing Analysis, M.Kabir Hassan, Omer Unsal, Hikmet Emre Tamer
Finance Faculty Publications
In this study, we investigate changes in banks' capital adequacy ratio (CAR) under different stress scenarios and examine the results by comparing conventional banks to participation banks in Turkey. Our results report that the capital adequacy ratio of the banks declines substantially given the stress scenarios. We find that participation banks in Turkey suffer more in declined capital adequacy ratio compared to conventional banks. Our findings reveal that participation banks in Turkey are more sensitive to sudden changes in exchange rates and increased non-performing loans. However, this sensitivity is in regards to capital adequacy, not profit. Overall, our study shows …