Reserve Fund Optimization Model for Digital Banking Transaction Risk with Extreme Value-at-Risk Constraints

Article Business, Finance

Modelling Systemic Risk in Morocco's Banking System

Ayoub Kyoud et al.

Summary: The Moroccan banking system suffered from increased non-performance loans and systemic risk during the COVID-19 crisis, leading to a decrease in banks' assets value and stability. This study filled the gap in analyzing systemic risk in the Moroccan banking system and highlighted the suitability of using a more complex Quantile Regression Neural Network (QRNN) to assess systemic risk. The findings emphasize the importance for regulators to closely monitor and address banks' risk exposures in implementing measures to mitigate systemic risk.

INTERNATIONAL JOURNAL OF FINANCIAL STUDIES (2023)

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Article Economics

Capital controls, domestic macroprudential policy and the bank lending channel of monetary policy

Andrea Fabiani et al.

Summary: This study examines how capital controls and domestic macroprudential policies, either directly or through the bank-lending channel, control credit supply booms. The findings suggest that capital controls strengthen the bank-lending channel, while increasing reserve requirements on domestic deposits directly reduce credit supply.

JOURNAL OF INTERNATIONAL ECONOMICS (2022)

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Article Business, Finance

Forecasting a Stock Trend Using Genetic Algorithm and Random Forest

Rebecca Abraham et al.

Summary: This paper addresses the problem of forecasting daily stock trends and proposes a forecasting model based on a genetic algorithm and random forest classifier. Experimental results show that the model outperforms dummy forecasts with high accuracy. The S&P 500 index is identified as the most useful stock index.

JOURNAL OF RISK AND FINANCIAL MANAGEMENT (2022)

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Article Business, Finance

Estimation of Maximum Potential Losses for Digital Banking Transaction Risks Using the Extreme Value-at-Risks Method

Moch Panji Agung Saputra et al.

Summary: This study aims to estimate the maximum potential losses for digital banking transaction risks using the EVaR method. The research results highlight the importance for banks to pay attention to the maximum potential losses of digital financial transactions and prepare reserve funds in advance to manage these potential risks.

RISKS (2022)

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Article Green & Sustainable Science & Technology