EnglishWe analyse how bank asset quality interacts within the relationship between leverage and systematic risk. We elaborate three leverage adjustments for sterilizing the effect of provisioning and incorporating the effect of non-performing loans and total credit risk exposure. We test the model on a sample of 97 European banks from 2005 and 2016. Controlling for size, findings show the relevance of a combined effect of leverage and asset quality as a systematic risk component. NPLs are found to be one significant variable of market risk. Results demonstrate that simple leverage is pointless for verifying the financial riskiness of banks.
Systematic risk and banks leverage: The role of asset quality / Beltrame, Federico; Previtali, Daniele; Sclip, Alex. - In: FINANCE RESEARCH LETTERS. - ISSN 1544-6123. - 27(2018), pp. 113-117. [10.1016/j.frl.2018.02.015]
| Data di pubblicazione: | 2018 | |
| Titolo: | Systematic risk and banks leverage: The role of asset quality | |
| Autore/i: | Beltrame, Federico; Previtali, Daniele; Sclip, Alex | |
| Autore/i UNIMORE: | ||
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/j.frl.2018.02.015 | |
| Rivista: | ||
| Volume: | 27 | |
| Pagina iniziale: | 113 | |
| Pagina finale: | 117 | |
| Codice identificativo ISI: | WOS:000454462300016 | |
| Codice identificativo Scopus: | 2-s2.0-85042631028 | |
| Citazione: | Systematic risk and banks leverage: The role of asset quality / Beltrame, Federico; Previtali, Daniele; Sclip, Alex. - In: FINANCE RESEARCH LETTERS. - ISSN 1544-6123. - 27(2018), pp. 113-117. [10.1016/j.frl.2018.02.015] | |
| Tipologia | Articolo su rivista |
File in questo prodotto:
Pubblicazioni consigliate
http://hdl.handle.net/11380/1169278
I metadati presenti in IRIS UNIMORE sono rilasciati con licenza Creative Commons CC0 1.0 Universal, mentre i file delle pubblicazioni sono rilasciati con licenza Attribuzione 4.0 Internazionale (CC BY 4.0), salvo diversa indicazione.
In caso di violazione di copyright, contattare Supporto Iris
Copyright © 2022