BUSI4426E1-22 QUANTITATIVE RESEARCH METHODS FOR BANKING
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BUSI4426E1-22
A LEVEL 4 MODULE, SPRING SEMESTER 2021-2022
QUANTITATIVE RESEARCH METHODS FOR BANKING
1. Discuss the advantages of modelling dynamic bank profitability. Discuss the various steps in the modelling process, starting from Ordinary Least Squares to System Generalized Methods of Moments. Describe the necessary steps and the post estimation diagnostics that will help you select the most appropriate model.
2. Discuss the importance of estimating frontier-based cost efficiencies and the associated econometric considerations – including, the differences between deterministic parametric methods and stochastic techniques, data problems, multiple time periods in the sample, cross-country studies.
3. Critically discuss the four hypotheses regarding the relationships among loan quality, cost efficiency, and bank capital.
4. Discuss Market Power (MP) and the Efficient Structure Hypothesis (ESH). How can these frameworks be incorporated into the Berger decomposition model to estimate and test market concentration theories?
5. Discuss the main reasons why stress testing is important from a policy making point of view, and the challenges associated with a stress testing exercise.
2023-04-11