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Risk Management Approaches and Bank Size

Author

Listed:
  • Dániel Homolya

    (Group Financial Risk Manager at MOL Group and Assistant Professor at the Department of Economics of the Faculty of Law at Károli Gáspár University of the Reformed Church in Hungary)

Abstract

Relying on the database of the European Banking Authority (EBA), the article analyses the relationship between firm size and the selected risk methodology (credit, market and operational risk). Based on the analysis, larger institutions are more inclined to apply more advanced approaches.1 While this is a favourable trend from a systemic risk perspective, according to statistical tests (Wilcoxon test), there is no evidence that the shift toward more advanced approaches was more intensive in the period between 2008 and 2010 than between 2010 and 2013, even if banks’ attention presumably turned to other tasks in an effort to mitigate the consequences of the economic and financial crisis and in consideration of the significant regulatory changes.

Suggested Citation

  • Dániel Homolya, 2016. "Risk Management Approaches and Bank Size," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 15(2), pages 114-128.
    • Handle: RePEc:mnb:finrev:v:15:y:2016:i:2:p:114-128
    as

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    File URL: http://english.hitelintezetiszemle.hu/letoltes/daniel-homolya-en.pdf
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    References listed on IDEAS

    as
    1. Dahen, Hela & Dionne, Georges, 2010. "Scaling models for the severity and frequency of external operational loss data," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1484-1496, July.
    2. Na, H.S. & Couto Miranda, L. & van den Berg, J.H. & Leipoldt, M., 2006. "Data Scaling for Operational Risk Modelling," ERIM Report Series Research in Management ERS-2005-092-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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    More about this item

    Keywords

    risk management; banking sector; capital requirement calculation methods;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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