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11 – 20 of over 58000Lydia Kuranchie-Pong, Godfred Alufa Bokpin and Charles Andoh
This paper aims to empirically examine the relationship between disclosure and risk-taking of banks in Ghana. The study also aims to gain an insight into the general risk-taking…
Abstract
Purpose
This paper aims to empirically examine the relationship between disclosure and risk-taking of banks in Ghana. The study also aims to gain an insight into the general risk-taking behaviour of banks in Ghana for the period 2007-2011.
Design/methodology/approach
The study used panel regression model and relate risk-taking to disclosure, controlling for bank size, profitability, liquidity and treasury bill rate. Disclosure scores from a disclosure index are used as a measure of disclosure, likewise Z-score as a measure of total risk. Also, the ratio of provisions for loan losses to gross loans by each bank for each year was used to examine the general risk-taking behaviour of Ghanaian banks.
Findings
The study revealed that the election year and the immediate subsequent year are characterized by an increase in non-performing loans. Greater disclosure is associated with more risk-taking and vice versa. This implies that market discipline is not effective in Ghana. Treasury bill rate, profitability and liquidity were found to be economically meaningful and statistically significant in influencing risk-taking of banks in Ghana.
Originality/value
As there are relatively few studies conducted in this area, specifically among banks in Ghana, this study will broaden the scope of the literature on disclosure and risk-taking by providing empirical evidence.
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Yuting Rong, Shan Liu, Shuo Yan, Wei Wayne Huang and Yanxia Chen
Lenders in online peer-to-peer (P2P) lending platforms are always non-experts and face severe information asymmetry. This paper aims to achieve the goals of gaining high returns…
Abstract
Purpose
Lenders in online peer-to-peer (P2P) lending platforms are always non-experts and face severe information asymmetry. This paper aims to achieve the goals of gaining high returns with risk limitations or lowering risks with expected returns for P2P lenders.
Design/methodology/approach
This paper used data from a leading online P2P lending platform in America. First, the authors constructed a logistic regression-based credit scoring model and a linear regression-based profit scoring model to predict the default probabilities and profitability of loans. Second, based on the predictions of loan risk and loan return, the authors constructed linear programming model to form the optimal loan portfolio for lenders.
Findings
The research results show that compared to a logistic regression-based credit scoring method, the proposed new framework could make more returns for lenders with risks unchanged. Furthermore, compared to a linear regression-based profit scoring method, the proposed new framework could lower risks for lenders without lowering returns. In addition, comparisons with advanced machine learning techniques further validate its superiority.
Originality/value
Unlike previous studies that focus solely on predicting the default probability or profitability of loans, this study considers loan allocation in online P2P lending as an optimization research problem using a new framework based upon modern portfolio theory (MPT). This study may contribute theoretically to the extension of MPT in the specific context of online P2P lending and benefit lenders and platforms to develop more efficient investment tools.
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In machine learning applications, and in credit risk modeling in particular, model performance is usually measured by using cumulative accuracy profile (CAP) and receiving…
Abstract
Purpose
In machine learning applications, and in credit risk modeling in particular, model performance is usually measured by using cumulative accuracy profile (CAP) and receiving operating characteristic curves. The purpose of this paper is to use the statistics of the CAP curve to provide a new method for credit PD curves calibration that are not based on arbitrary choices as the ones that are used in the industry.
Design/methodology/approach
The author maps CAP curves to a ball–box problem and uses statistical physics techniques to compute the statistics of the CAP curve from which the author derives the shape of PD curves.
Findings
This approach leads to a new type of shape for PD curves that have not been considered in the literature yet, namely, the Fermi–Dirac function which is a two-parameter function depending on the target default rate of the portfolio and the target accuracy ratio of the scoring model. The author shows that this type of PD curve shape is likely to outperform the logistic PD curve that practitioners often use.
Practical implications
This paper has some practical implications for practitioners in banks. The author shows that the logistic function which is widely used, in particular in the field of retail banking, should be replaced by the Fermi–Dirac function. This has an impact on pricing, the granting policy and risk management.
Social implications
Measuring credit risk accurately benefits the bank of course and the customers as well. Indeed, granting is based on a fair evaluation of risk, and pricing is done accordingly. Additionally, it provides better tools to supervisors to assess the risk of the bank and the financial system as a whole through the stress testing exercises.
Originality/value
The author suggests that practitioners should stop using logistic PD curves and should adopt the Fermi–Dirac function to improve the accuracy of their credit risk measurement.
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Monique Delforterie, Jan Willem van den Berg, Betto Bolt, Teunis van den Hazel, Leam Craig and Robert Didden
While there is a significant proportion of people with a mild intellectual disability (MID) or borderline intellectual functioning (BIF) who commit sexual offenses, little…
Abstract
Purpose
While there is a significant proportion of people with a mild intellectual disability (MID) or borderline intellectual functioning (BIF) who commit sexual offenses, little research has focused on the risk factors for sexual recidivism in people with MID-BIF. The purpose of this paper is to compare the scores on the STATIC-99R and STABLE-2007 between persons with sexual offense histories with and without MID-BIF.
Design/methodology/approach
Data using the STATIC-99R and STABLE-2007 were collected in 85 male patients divided into an MID-BIF group (IQ 50–85, n=50) and comparison group (IQ>95, n=35).
Findings
The MID-BIF group and comparison group did not differ significantly on the static risk factors and total score of the STATIC-99R. However, of the 13 dynamic risk factors of the STABLE-2007, the MID-BIF group scored significantly higher on the items Impulsive acts, Poor problem solving skills and Lack of concern for others, while the comparison group scored significantly higher on the item Deviant sexual preference.
Originality/value
The higher score on a number of dynamic risk factors for patients with MID-BIF could partly be explained by the characteristics associated with MID-BIF. Although dynamic criminogenic risk factors which are usually identified as targets for treatment appear the same for people with and without MID-BIF who commit sexual offenses, adaptations to the modality of treatment will still need to be made for people with MID-BIF.
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This paper aims to analyze thoroughly all of the sources of research used to develop the money laundering (ML) and terrorist financing (TF) low-risk rating, a rating attained by…
Abstract
Purpose
This paper aims to analyze thoroughly all of the sources of research used to develop the money laundering (ML) and terrorist financing (TF) low-risk rating, a rating attained by Norway according to the Basel Institute of Governance, and determine the reasons why Norway is one of only two countries in the world according to the 2012 report, with the other being Estonia, to gain an overall low-risk ML and TF rating.
Design/methodology/approach
The differences between the USA and Norway which has obtained a low-risk ranking, were compared and contrasted.
Findings
Beginning with the Basel Institute Rating index as a legitimate source for use in assessing anti-money-laundering (AML)/TF risk, and the amount of documentation used in the index’s methodology, it has been proven that the low-risk rating Norway has received is well deserved, and that the US rating of medium risk is also deserved for the time the report was published. Achieving a low-risk rating is not as ambiguous as recently thought and neither is its application on a global scale.
Originality/value
The paper identifies practical areas of improvement and concerns in addressing the overall issue of ML and terrorist financing.
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Brinton Phillips, Neil Rutherford, Tom Gorsuch, Mark Mabey, Nick Looker and Ray Boggiano
Discusses research recently carried out by Delyn BC and the AuditCommission in its search for performance indicators for theenvironmental health food safety function, and how this…
Abstract
Discusses research recently carried out by Delyn BC and the Audit Commission in its search for performance indicators for the environmental health food safety function, and how this can facilitate improved analysis of “Hazard” and “Risk Management” performance in food premises. Analysis has been made of risk assessment scores from 8,000 food premises inspections carried out by Environmental Health Officers from varying LAs, which have been transferred into a computerized database, located at Delyn BC. Interpretation and observation of the results and illustrations has revealed some fascinating similarities between the LA data presented. Implementation of these proposals could provide more uniform risk analysis and enhanced enforcement standards in food premises, leading to improved food safety by enabling the more accurate focusing of resources and efforts to where they are most needed and effective.
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Alastair Adair and Norman Hutchison
Aims to examine financial risk management. The UK valuation profession has been criticised for inconsistencies and failures to reflect risk and uncertainty in certain valuation…
Abstract
Purpose
Aims to examine financial risk management. The UK valuation profession has been criticised for inconsistencies and failures to reflect risk and uncertainty in certain valuation assignments such as the pricing of urban regeneration land. Also the Investment Property Forum/Investment Property Databank specifically concluded that a new approach is needed which combines conventional analysis of returns uncertainty with a more comprehensive survey of business risks. This debate has been brought into sharper focus by the publication of the Carsberg Report, which emphasised the need for more acceptable methods of expressing uncertainty, particularly when pricing in thin markets.
Design/methodology/approach
The paper commences with an examination of risk analysis within investment decision making and the property industry, drawing on the findings of the most recent literature that assesses the utilisation of risk management approaches.
Findings
Financial risk management is examined and the workings of the D&B credit rating model illustrated. The paper explains the decision‐making framework within which the property risk score is applied.
Originality/value
The aim of this paper is to present an alternative paradigm for the reporting of risk based on techniques utilised within business applications. In particular it applies a standard credit‐rating technique, based on the D&B model, to report the level of risk within property pricing – property risk scoring (PRS).
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Syou-Ching Lai, Hung-Chih Li, James A. Conover and Frederick Wu
We examine explicitly priced financial distress risk in post-1990 equity markets. We add a financial distress risk factor to Fama and French's (1993) three-factor model, based on…
Abstract
We examine explicitly priced financial distress risk in post-1990 equity markets. We add a financial distress risk factor to Fama and French's (1993) three-factor model, based on Griffin and Lemmon's (2002) findings that financial distress is not fully captured by the book-to-market factor. We test three-factor and four-factor capital asset pricing models using both annual buy-and-hold analysis and monthly time series analysis across portfolios adjusted for common book-to-market, size, and financial distress factors. We find empirical support for an Ohlson (1980) O-score-based financial distress risk four-factor asset pricing model in the U.S. and Japanese markets.
Hope M. Tiesman, Rebecca J. Heick, Srinivas Konda and Scott Hendricks
Motor-vehicle-related events (MVEs) are the leading cause of on-duty death for law enforcement officers, yet little is known about how officers view this significant job hazard…
Abstract
Purpose
Motor-vehicle-related events (MVEs) are the leading cause of on-duty death for law enforcement officers, yet little is known about how officers view this significant job hazard. The purpose of this paper is to explore officers’ motor-vehicle risk perception and examine how prior on-duty MVEs and the death or injury of a fellow officer influences this perception.
Design/methodology/approach
A state-wide random sample of 136 law enforcement agencies was drawn using publically accessible databases, stratified on type and size of agency. In total, 60 agencies agreed to participate and a cross-sectional questionnaire was distributed to 1,466 officers. Using six-point Likert scales, composite scores for motor-vehicle and intentional violence risk perception were derived. A linear regression multivariable model was used to examine factors affecting motor-vehicle risk perception.
Findings
Motor-vehicle risk perception scores were significantly higher than intentional violence scores. A prior on-duty motor-vehicle crash, prior roadside incident, or knowledge of fellow officer’s injury or death from a MVE significantly increased motor-vehicle risk perception scores. After controlling for potential confounders though, only prior on-duty crashes and roadside incidents impacted motor-vehicle risk perception.
Research limitations/implications
The study comprised primarily small, rural agencies and generalizability may be limited. Also, although the data were collected anonymously, reporting and response biases may affect these findings.
Originality/value
This study involved a large and diverse cohort of officers and explored motor-vehicle risk perception. A better understanding of officers’ risk perceptions will assist in the development and implementation of occupational injury prevention programs, training, and policy.
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Daniel M. Settlage, Paul V. Preckel and Latisha A. Settlage
The purpose of this paper is to examine the performance of the agricultural banking industry using both traditional and risk‐adjusted non‐parametric efficiency measurement…
Abstract
Purpose
The purpose of this paper is to examine the performance of the agricultural banking industry using both traditional and risk‐adjusted non‐parametric efficiency measurement techniques. In addition to computing efficiency scores, the risk preference structure of the agricultural banking industry is examined.
Design/methodology/approach
The paper used data envelopment analysis (DEA) to examine the efficiency of agricultural banks in the year 2001. Standard cost efficiency is computed and compared to both profit and risk‐adjusted profit efficiency scores. The risk‐adjustment is a modification of traditional DEA wherein firm preferences are represented via a mean‐variance criterion. The risk‐adjusted technique also provides estimates of firm level risk aversion.
Findings
Results from the traditional approach that does not account for risk indicate a low degree of efficiency in the banking industry, while the risk‐adjusted approach indicates banks are much more efficient. On average, 77 percent of the inefficiency identified by the standard DEA formulation is actually attributable to risk averse behavior by the firm. In addition, most banks appear to be substantially risk averse.
Research limitations/implications
The risk‐adjusted DEA technique used in this study should be applied to other, diverse data sets to examine its performance in a broader context.
Practical implications
Results from this study support the idea that traditional DEA methods may mischaracterize the level of efficiency in the data if agents are risk averse. In addition, the paper outlines a practical method for deriving firm level risk aversion coefficients.
Originality/value
This paper sheds light on the agricultural banking industry and illustrates the power of a new efficiency and risk analysis technique.
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