Essays on risks in banking

Alzugaiby, Basim (2019). Essays on risks in banking. University of Birmingham. Ph.D.

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Abstract

Although the banking literature offers a very rich assessment of financial risks, this thesis at-tempts to extend the empirical literature by narrowing the important gaps in various aspects. Guided by the fundamental-based view (Calomiris, 2007) and supported by the theory of fi-nancial intermediation introduced by Allen and Santomero (1997), this thesis presents three distinctive empirical models to analyse the determinants of financial risks among banks in the United States over the past few decades. In first essay (chapter 2), I examine the factors and the extent to which they affect the probability of bank failure across different size categories. Results suggest that factors affecting bank failure vary across respective size categories, and the Average Marginal Effects (AMEs) of mutually significant covariates also exhibit signifi-cant variability across different size classes. In second essay (chapter 3), I explore the system-atic trend in bank risk and its sources. I find that the risk level for each new cohort of banks are higher than its predecessors. In addition, I find that the risk differences (cohort risk phenome-non) are broadly persistent because each new cohort of banks adopts riskier business strategies than its predecessor. In third essay (chapter 4), I investigate the impact of tail risk on financial distress among publicly traded bank holding companies (BHCs). My results show that tail risk is significantly and positively linked to the financial distress, implying that BHCs with a higher tail risk have higher financial distress.

Type of Work:

Thesis (Doctorates > Ph.D.)

Award Type:

Doctorates > Ph.D.

Supervisor(s):