Search Results - subject:"Distance to default"

Banking sector fragility linkages in the euro area: Evidence for crisis years 2007–2010

Ludwig, Alexander; Sobański, Karol - In: Economics Letters 125 (2014) 3, pp. 451-454

We investigate fragility linkages among national banking sectors in the euro area during the crisis years 2007–2010. We find that their number increased sharply with the outbreak of the subprime crisis in the US in the first half of 2007 and then remained at a relatively constant and high...

Persistent link: https://www.econbiz.de/10011116208

Default prediction with dynamic sectoral and macroeconomic frailties

Chen, Peimin; Wu, Chunchi - In: Journal of Banking & Finance 40 (2014) C, pp. 211-226

This paper extends the macroeconomic frailty model to include sectoral frailty factors that capture default correlations among firms in a similar business. We estimate sectoral and macroeconomic frailty factors and their effects on default intensity using the data for Japanese firms from 1992 to...

Persistent link: https://www.econbiz.de/10010738303

Has the global banking system become more fragile over time?

Anginer, Deniz; Demirguc-Kunt, Asli - In: Journal of Financial Stability 13 (2014) C, pp. 202-213

We examine the evolution of credit risk co-dependence in the banking sectors of over 65 countries. We find that there has been a significant increase in default risk co-dependence over the 3-year period leading up to the financial crisis. We also find that countries that are more integrated with...

Persistent link: https://www.econbiz.de/10010906523

Distance-to-default measures and determinants for systemically important financial institutions

Schenck, Natalya A. - In: Journal of Financial Regulation and Compliance 22 (2014), pp. 159-172

Purpose – This study aims to compare two distance-to-default methods, data-transformed maximum likelihood estimation … measure has been introduced. Most of the market-based distance-to-default measures are not appropriate for banks due to their … unique debt structure. Design/methodology/approach - The author has compared two distance-to-default measures and has …

Persistent link: https://www.econbiz.de/10010795436

How does competition affect bank systemic risk?

Anginer, Deniz; Demirguc-Kunt, Asli; Zhu, Min - In: Journal of Financial Intermediation 23 (2014) 1, pp. 1-26

Using bank level measures of competition and co-dependence, we show a robust negative relationship between bank competition and systemic risk. Whereas much of the extant literature has focused on the relationship between competition and the absolute level of risk of individual banks, in this...

Persistent link: https://www.econbiz.de/10010744150

Distance-to-default measures and determinants for systemically important financial institutions

A. Schenck, Natalya - In: Journal of Financial Regulation and Compliance 22 (2014) 2, pp. 159-172

Purpose – This study aims to compare two distance-to-default methods, data-transformed maximum likelihood estimation … measure has been introduced. Most of the market-based distance-to-default measures are not appropriate for banks due to their … unique debt structure. Design/methodology/approach – The author has compared two distance-to-default measures and has …

Persistent link: https://www.econbiz.de/10014870641

How does competition affect bank systemic risk?

Anginer, Deniz; Demirgüç-Kunt, Asli; Zhu, Min - In: Journal of financial intermediation 23 (2014) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10010400975

Default prediction with dynamic sectoral and macroeconomic frailties

Chen, Peimin; Wu, Chunchi - In: Journal of banking & finance 40 (2014), pp. 211-226

Persistent link: https://www.econbiz.de/10010402234

Examining what best explains corporate credit risk : accounting-based versus market-based models

Trujillo-Ponce, Antonio; Samaniego-Medina, Reyes; … - In: Journal of business economics and management 15 (2014) 2, pp. 253-276

Persistent link: https://www.econbiz.de/10010375868

Bank business models and the separation issue

Blundell-Wignall, Adrian; Atkinson, Paul; Roulet, Caroline - In: Financial market trends 105 (2013) 2, pp. 69-91

Persistent link: https://www.econbiz.de/10010409790