Panel modeling of z-score: evidence from Islamic and conventional Saudi banks

Ghassan, Hassan B.; Guendouz, Abdelkarim

doi:10.1108/imefm-04-2018-0122

Cited by 15 publications

(28 citation statements)

References 27 publications

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“…A larger LLR ratio signals a higher credit risk. Z-score is widely used in the literature to measure bank insolvency risk or overall stability (Houston et al , 2010; Chen et al , 2015; Ashraf, 2017; Chen et al , 2017; Ghassan and Guendouz, 2019). It is calculated as the combination of ROA and the ratio of equity over total assets (EA) divided by the standard deviation of ROA ( σ(ROA) )[6].…”

Section: Resultsmentioning

confidence: 99%

Oil prices and bank credit risk in MENA countries after the 2008 financial crisis

Wang

Luo

2020

IMEFM

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Purpose The purpose of this paper is to investigate the oil price–bank risk nexus by considering the heterogeneity of bank characters. Design/methodology/approach This paper empirically tests the effect of oil price movements on bank credit risk by using a sample of 279 banks in the Middle East and North Africa countries from 2011 to 2017. Findings Authors find robust evidence that the credit risk of bank loan portfolios is negatively associated with increased oil prices. The heterogeneity analysis indicates that the effect of asset quality improvement brought about by rising oil prices is more salient in conventional banks, and banks with small size, low liquidity and whose funding source relies on customers’ deposits. Practical implications The results favor the diversification of bank funding sources, the improvement of a country’s financial development, the adoption of explicit deposit insurance and macroprudential policies, such as countercyclical liquidity buffers, to weaken the adverse impact of oil prices declines. Originality/value The present paper enriches the literature of oil price–bank risk nexus by analyzing the heterogeneity of bank characters and advances our knowledge on the determined factors of bank riskiness and vulnerability.

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Section: Resultsmentioning

confidence: 99%

Oil prices and bank credit risk in MENA countries after the 2008 financial crisis

Wang

Luo

2020

IMEFM

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“…He Xiaoqing et al evaluated 25 institutions in the “Muscular Dystrophy” field based on z index and performed correlation analysis on z index with quantitative indexes such as the h index, p index, total number of published papers and total citations. (He et al , 2018b) At the same time, z index was used to evaluate 15 of the most representative scholars in this field (He et al , 2018a), and the effectiveness of z index on evaluating the academic influence of institutions and scholars was verified; He Xiaoqing et al also used z index to evaluate “information science and library science” journal, further verified the effectiveness of z -index evaluation and helped to motivate the journals to publish high-level papers (Cheng et al , 2018b); In addition, Yu Liping improved z index in terms of the shortcomings in the journal evaluation and proposed a z n index with better evaluation effect on journals (Ghassan and Guendouz, 2019).…”

Section: Methodsmentioning

confidence: 97%

Bibliometric analysis for talent identification by the subject–author–citation three-dimensional evaluation model in the discipline of physical education

Zheng

Liu

2020

LHT

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PurposeIn order to solve the current imbalance of academic resources within the discipline, this article builds a three-dimensional talent evaluation model based on the topic–author–citation based on the z index and proposes the ZAS index to evaluate scholars on different research topics within the discipline.Design/methodology/approachBased on the sample data of the CSSCI journals in the discipline of physical education in the past five years, the keywords were classified into 13 categories of research topics including female sports. The ZAS index of scholars on topic of female sports and so on was calculated, and quantitative indexes such as h index p index and z index were calculated. Comparative analysis of the evaluation effect was performed.FindingsIt is found that compared with the h index and p index, the z index achieves a better balance between the quantity, quality and citation distribution of scholars' results and effectively recognizes that the citation quality is higher and the number of citations of each paper is more balanced. In addition, compared to the z index, this article is based on a ZAS index model with an improved three-dimensional topic–author–citation relationship in research fields such as female sports.Originality/valueIt can identify some outstanding scholars who are engaged in small-scale or emerging topic research such as female sports and are excellent in different research areas. Talents create an objective and fair evaluation environment. At the same time, the ranking ability of ZAS indicators in the evaluation of talents is the strongest, and it is expected to be used in practical evaluations.

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“…The ZSC, or z -score, is a popular measure for a bank’s solidity, solvency, risk and soundness, and its use is justified through the following reasons: First, it can estimate the probability of future bank insolvency and failure risk. Second, it is better than other methods, such as capital adequacy, asset quality, management, earnings, liquidity, and sensitivity ratings and the value at risk stress test, in determining distress events (Laura et al , 2015; Ghassan and Guendouz, 2019). Third, it is an objective proxy for investigating bank soundness whatever its risk strategy.…”

Section: Sample and Methodologymentioning

confidence: 99%

“…Ghassan and Guendouz (2019) examined the quarterly data of six banks (two IBs and four CBs) in Saudi Arabia for 2005–2011 and computed a stability index to study the stability in the banking industry of this country. To measure banking stability, the authors chose the ZSC model over the value at risk stress test, because the ZSC model can estimate the probability of future bank insolvency, whereas the value at risk stress test only gives an idea of the liquidity problems that a bank may face.…”

Section: Introductionmentioning

confidence: 99%

Examining the relationship between bank stability and earnings quality in Islamic and conventional banks

Riahi

2020

IMEFM

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Purpose The purpose of this paper is to investigate the effect of earnings quality on banking stability in Gulf Cooperation Council countries. First, the author isolates the discretionary loan loss provision (DLLP) to investigate the impact of total LLP, DLLP, discretionary accruals and a small positive variation in net income on bank stability. Second, the author investigates differences that may exist between Islamic banks (IBs) and conventional banks (CBs) in terms of the impact of DLLP on bank stability. Design/methodology/approach This research is based on unbalanced panel data for 39 IBs and 64 CBs in the six Gulf Cooperation Council countries over the 2000–2014 period. Findings The findings indicate that the extent of stability is negatively associated with the level of DLLP. This study also found significant differences between the two banking sectors in the effect of DLLP on bank stability. Practical implications This study has various practical implications. First, it provides insights for governments and regulators about introducing instruments like borrower restrictions and dynamic provisions to reduce LLP, because it negatively affects banking stability. Second, bankers should carefully assess the effects of their LLP strategies to overcome any negative effects. Third, the findings are also relevant to shareholders, investors and bank customers. More specifically, the results will help to improving their understanding of how LLP is not a financial strength and it is subject to managers’ opportunism that can lead to a financial instability. Finally, this study’s results encourage researchers to investigate an unexplored question, namely, the procyclicality of LLP and its determinants and effects. Originality/value To the best of the author’s knowledge, this is the first study to investigate differences that may exist between Islamic and CBs in terms of the impact of DLLP on bank stability.

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Panel modeling of z-score: evidence from Islamic and conventional Saudi banks

Cited by 15 publications

References 27 publications

Oil prices and bank credit risk in MENA countries after the 2008 financial crisis

Oil prices and bank credit risk in MENA countries after the 2008 financial crisis

Bibliometric analysis for talent identification by the subject–author–citation three-dimensional evaluation model in the discipline of physical education

Examining the relationship between bank stability and earnings quality in Islamic and conventional banks

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