The Impact of Off-Balance-Sheet Activities on Banks Returns: An Application of the ARCH-M to Canadian Data

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Banks’ Capital Buffer, Risk and Performance in the Canadian Banking System: Impact of Business Cycles and Regulatory Changes (2013, methodology): “This is similar to Song (1994), Flannery et al (1997) and Calmès and Théoret (2010), among others.6 We add an additional factor for exchange rate risk to the market multifactor model used by Chen et al (2006) and Pathan (2009) as follows: Rj,t= 0,t + m,j Rm,t+ I,j UI,t+ x,jUx,t + ɛj,t, where Rj,t…”
What drives bank securitisation? The Spanish experience. (2010, background): “7 Calmès and Théoret (2010) revisit the impact of off-balance-sheet activities on banks risk-return trade-off.”