Estimating Risk and Excessive Risk-Taking in Colombia’s Commercial Banks

Desarrollo y Sociedad

关键词: Financial stability;    risk attitudes;    risk;    excessive risk-taking;    bank;   

DOI  :  

来源: DOAJ

【 摘 要 】

The document estimates the risk embraced by Colombian commercial banks, and establishes a measurement of excessive risk-taking that is consistent with such estimation. The construction of the excessive-risk measurement follows the basic efficient-portfolio framework, in which the variance of an aggregate portfolio is minimized subject to an observed return. Return and risk-taking in Colombia’s banking industry appear to decrease between December 2007 and May 2011. In spite of this, the excess-risk exhibits an upward trend, and denotes an increasing suboptimality when considered as a proportion of the observed risk. Hence, a reduction in the risk embraced by Colombian banks paradoxically coincides with an increase in their instability.

【 授权许可】

Unknown