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Bank Risk: Does Size Matter?, David Allen, Akhmad R. Kramadibrata, Robert Powell, Abhay K. Singh
Bank Risk: Does Size Matter?, David Allen, Akhmad R. Kramadibrata, Robert Powell, Abhay K. Singh
Research outputs 2011
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 …