Philip R. Perry
University at Buffalo
Institutional Affiliation: University at Buffalo
NBER Working Papers and Publications
|July 1978||The Fundamental Determinants of Risk In Banking|
with Barr Rosenberg: w0265
This study is concerned with establishing the determinants of banks' exposure to risk and with predicting risk in banking. Using the COMPUSTAT data base, prediction rules have been developed for two aspects of risk: systematic risk (risk that is related to covariance with the market portfolio) and residual risk (the aggregate of specific
risk and extra-market covariance). For each type of risk, several models have bean estimated: one model employs only measures of the asset and liability characteristics of the bank; a second employs these characteristics and other data taken from annual reports; a third model adds the history of the behavior of the price at the bank's common stock. The central conclusion of the study is that systematic and residual risk in banks can be predicted from pre...
Published: Rosenberg, Barr, and Philip R. Perry, 1978. "Abstract: The Fundamental Determinants of Risk in Banking," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(04), pages 735-735, November.