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Are charter value and supervision aligned? A segmentation analysis


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Título :
Are charter value and supervision aligned? A segmentation analysis
Autor :
Aparicio Baeza, Juan
Durán, Miguel A.
Lozano Vivas, Ana
Pastor Ciurana, Jesús Tadeo
Departamento:
Departamentos de la UMH::Estadística, Matemáticas e Informática
Fecha de publicación:
2018-06-05
URI :
http://hdl.handle.net/11000/6040
Resumen :
Previous work suggests that the charter value hypothesis is theoretically grounded and empirically sup-ported, but not universally. Accordingly, this paper aims to perform an analysis of the relations betweencharter value, risk taking, and supervision, taking into account the relations’ complexity. Specifically,using the CAMELS rating system as a general framework for supervision, we study how charter valuerelates to risk and supervision by means of classification and regression tree analysis. The sample coversthe period 2005–2016 and consists of listed banks in countries that were members of the Eurozone whenit came into existence, along with Greece. To evaluate the crisis consequences, we also separately analyzefour subperiods and countries that required financial aid from third parties and those that did not so,along with large and small banks. Our results reflect the complexity of the relations between chartervalue, supervision, and risk. Indeed, supervision and charter value seem aligned regarding only sometypes of risk
Palabras clave/Materias:
Bank supervisión
Camels
Cart
Charter value
Data mining
Risk
Área de conocimiento :
Análisis matemático
Tipo documento :
application/pdf
Derechos de acceso:
info:eu-repo/semantics/openAccess
DOI :
https://doi.org/10.1016/j.jfs.2018.05.004
Aparece en las colecciones:
Artículos Estadística, Matemáticas e Informática



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