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Outputs (26)

Monitoring market participants, externals and financial transactions in a global financial stability environment (2020)
Journal Article

The existing economic and financial literature has documented the importance of informed trades, volatility spreads and the stock market response to key financial events that can threaten domestic and global financial stability. After the Global Fina... Read More about Monitoring market participants, externals and financial transactions in a global financial stability environment.

Quo Vadis, Raters? A frontier approach to identify overratings and underratings in sovereign credit risk (2020)
Journal Article

This study analyses overratings and underratings in sovereign credit risk. The analysis uses partial frontier methods, a technique rarely applied in this literature. By combining a robust variant of the free disposal hull (FDH) estimator, we measure... Read More about Quo Vadis, Raters? A frontier approach to identify overratings and underratings in sovereign credit risk.

Challenges to global financial stability: Interconnections, credit risk, business cycle and the role of market participants (2020)
Journal Article

The worldwide financial crisis (WFC) of 2007-09 has shown the importance of cross-sectional dependencies of assets, credit exposures and volatility, which can threaten domestic and global financial stability through cascades in financial networks. A... Read More about Challenges to global financial stability: Interconnections, credit risk, business cycle and the role of market participants.

Trademarking activities and total factor productivity: some evidence for British commercial banks using a metafrontier approach (2016)
Journal Article

In this paper, we compute a non-parametric Metafrontier Malmquist index to evaluate the Total Factor Productivity (TFP) change among UK-based trademarking and non-trademarking commercial banks between 2005 and 2013. The use of the metafrontier approa... Read More about Trademarking activities and total factor productivity: some evidence for British commercial banks using a metafrontier approach.

Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds (2015)
Journal Article

In this paper, we analyze the performance persistence and survivorship bias of Islamic funds. The remarkable growth of these types of ethical funds raises the question of how non-financial attributes, including beliefs and value systems, influence pe... Read More about Is Ethical Money Sensitive to Past Returns? The Case of Portfolio Constraints and Persistence in Islamic Funds.

How a regulatory capital requirement affects banks’ productivity: an application to emerging economies (2015)
Journal Article

This paper presents a novel approach to measure efficiency and productivity decomposition in the banking systems of emerging economies with a special focus on the role of equity capital. We model the requirement to hold levels of a fixed input, i.e.... Read More about How a regulatory capital requirement affects banks’ productivity: an application to emerging economies.