An Empirical Model for Assesing Risk and Performance in the Romanian Banking System

Ioan Trenca and Simona Mutu
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Simona Mutu: Babes-Bolyai University, Cluj-Napoca

Finante - provocarile viitorului (Finance - Challenges of the Future), 2011, vol. 1, issue 13, 89-95

Abstract: The bank management must decide the proportion placed in different assets and liabilities in order to achieve the desired profitability level and to respect the liquidity, solvency and prudential requirements. Regarding these proportions, the objective of our article is to present a framework for modeling the risk-efficiency relationship for the Romanian banking system. To test the relationship between risk and performance we have performed the Granger causality test and the Vector Autoregressive representation for several risk and profitability variables of the Romanian banks. The result revealed significant causalities between risk and performance ratios in the 2007-2010 period.

Keywords: bank performance; VAR models; Granger causality (search for similar items in EconPapers)
JEL-codes: G14 G20 G21 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:aio:fpvfcf:v:1:y:2011:i:13:p:89-95

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