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題名 | Bank Risk Appetite Measurement and the Relationship with Macroeconomic Factors: Case of Taiwan's Banks= |
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作者 | Shen, Da-bai; Hu, Kuang-hua; |
期刊 | International Journal of Information Systems for Logistics and Management |
出版日期 | 20071100 |
卷期 | 3:1 2007.11[民96.11] |
頁次 | 頁25-39 |
分類號 | 562.29 |
語文 | eng |
關鍵詞 | Risk appetite; Risk aversion; Taiwan; Risk; Banking; |
英文摘要 | ABSTRACT In this paper, we propose a method based on the rank correlation between risk of assets and excess returns to set a risk appetite index (RAI) to measure risk appetite of banks. We hope to explain how international financial crises or other serious economic events can change bank risk appetite and also to explain the relationship between bank risk appetite and macroeconomic factors. From the empirical case of Taiwan’s banks, we find that local crises resulted in a significant decline in RAI for most banks and had a negative relationship with stock returns. According to the changes in risk appetite, a banking enterprise can set a risk level and related rules as a basis for adjusting policy. |
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