Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail

Driouchi, Tarik; So, Raymond H.Y.; Trigeorgis, Lenos

doi:10.1016/j.jcorpfin.2019.101549

Cited by 13 publications

(9 citation statements)

References 123 publications

(153 reference statements)

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“…In the current economic environment, one can consider bank management one of the most challenging management areas, as banks are constantly at the crossroads of many complicated, contradictory, and unpredictable processes taking place in the economic, political, and social spheres. In modern conditions, it is difficult for banks to achieve the goals of their shareholders, customers, society, employees, and government services following the requirements set by regulators (Driouchi et al 2020).…”

Section: Discussionmentioning

confidence: 99%

Banking Risks in the Asset and Liability Management System

Lysiak

Масюк

Chynchyk

et al. 2022

JRFM

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Banking risk management is considered weak compared to rapid changes in financial markets. In light of the recent global financial crisis, banking risk management has become a significant concern of banking regulators and government agencies. This work aims to build a model for assessing banking risks. The primary study method is economic–mathematical modeling based on the standardized model of the Basel Committee for Operational Risk Management, the modified CAPM model, and the model developed by Shapiro and Cornell for currency risk management. The information base was the financial statements of Bank Credit Agricole (Poland). As a result, an economic–mathematical model is built, which is the optimal combination of operational, currency, and credit risk management models. This model calculates the optimal values of bank balance sheet items, which allows for making the right management decisions. It allowed adjusting the value of the bank profit by 3.6 million US dollars. In conclusion, considering the results of banking risk modeling, the need to build a strategy for the bank’s development is determined.

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Section: Discussionmentioning

confidence: 99%

Banking Risks in the Asset and Liability Management System

Lysiak

Масюк

Chynchyk

et al. 2022

JRFM

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“…Viewed as uncertainty beyond risk, or the lack of information clarity about future prospects, ambiguity has been found to explain cognition and individual behaviour in a number of experimental and natural settings (Baillon and L'Haridon, 2016; Baillon et al ., 2018b). Empirical research in behavioural economics and management has related ambiguity aspects to market participation (Antoniou, Harris and Zhang, 2015), resource allocation and financing (Agliardi, Agliardi and Spanjers, 2016), cash holdings and capital structure (Ertugrul et al ., 2017; Friberg and Seiler, 2017), initial public offerings (Arnold, Fishe and North, 2010; Park and Patel, 2015), banking performance (Boyarchenko, 2012; Driouchi, So and Trigeorgis, 2020), leadership effectiveness (Cicero, Pierro and Van Knippenberg, 2010), innovation activity (Carson, Madhok and Wu, 2006; Hussinger and Pacher, 2019) and mergers and acquisitions (Cording, Christmann and King, 2008). The findings suggest that ambiguity generally has a detrimental impact on economic outcomes, increases exposures to risk and exacerbates decision‐making biases (e.g.…”

Section: Theory and Hypothesesmentioning

confidence: 99%

“…Compustat and market data are obtained from CRSP. We infer ambiguity information from financial statements and using market data following the ambiguity-based contingent-claims approach of Driouchi, So and Trigeorgis (2020). For our other explanatory (and robustness) variables, we rely on datasets made available by researchers, including the ability score of Demerjian, Lev and McVay (2012), the textual ambiguity measure of Friberg and Seiler (2017) and the innovation index of Kogan et al (2017).…”

Section: Datamentioning

confidence: 99%

“…Ambiguity. Our first and main ambiguity measure is the ambiguity score (AMB CU ) with nonadditive probabilities by Driouchi, So and Trigeorgis (2020). Extending the Black-Scholes-Merton fundamental equation to multiple priors and Choquet ambiguity, Driouchi, So and Trigeorgis (2020) provide formulae to value contingent claims under non-Bayesian uncertainty, and show how ambiguity information affects the dynamics of option prices and systemic risk in the US market.…”

Section: Independent Variablesmentioning

confidence: 99%

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Ambiguity, Managerial Ability, and Growth Options

Driouchi

Chen

Lyu

et al. 2021

British J of Management

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This paper studies the role of ambiguity and managerial ability in firm growth options from the perspective of behavioural theory. We argue that managerial ability increases both the identification and exploitation of growth options opportunities, but ambiguity reduces strategic growth options value as a result of information incompleteness and non‐Bayesian behaviour. Using a dataset of all US‐listed firms, we test the joint effects of ambiguity and managerial ability on growth options value after controlling for standard determinants and endogeneity. The results indicate that ambiguity has a negative effect on growth options value, while ability has a positive effect. We also find that the negative association between ambiguity and growth options is less pronounced with higher managerial ability. These findings underscore the importance of firm heterogeneity in the identification, exercise, and management of strategic and innovative real options opportunities. The paper's contribution provides relevant management insights into the behavioural antecedents of real options at the firm level as well as highlights that managerial and behavioural characteristics are important determinants of growth options value.

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“…Banking risk is defined as the irregularity of the returns and the fluctuation of its value in relation to the capital invested, which constitutes the risk element [6]. [7] define it as the potential for adverse and unexpected events to adversely affect the capital or returns of the bank. Risk management is the work to reduce or minimize the absolute level of risk.…”

Section: Banking Risksmentioning

confidence: 99%

Impact of Banking Risks on the Electronic Banking Services: A Comparative Study

Mohammed¹,

Mohammed²,

Ahmed³

2021

TEM Journal

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This paper aims to explore the impact of banking risk on electronic banking services in the Rafidain Bank and the Baghdad Bank. The study adopted the field survey method as a method of data collection and analysis. The sample included managers, their assistants, and the heads of departments who are at the decision-making site who were chosen intentionally, consisting of 43 people, including 25 from the Rafidain Bank and 18 from the Bank of Baghdad. A questionnaire was distributed to measure the study variables. The results show a significant impact of credit risk and liquidity risk on usability, benefits and cost reduction. Therefore, it is necessary to put in place mechanisms by the banks in question to help reduce risks, as these risks are the cause of many banking crises.

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Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail

Cited by 13 publications

References 123 publications

Banking Risks in the Asset and Liability Management System

Banking Risks in the Asset and Liability Management System

Ambiguity, Managerial Ability, and Growth Options

Impact of Banking Risks on the Electronic Banking Services: A Comparative Study

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