Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...

This paper examines the relationship between efficiency and default risk in Islamic banks (IBs) and Conventional banks (CBs) in Gulf Cooperation Countries (GCC) and three Non-GCC countries over the period 2002-2010. Efficiency and default risk are measured using Stochastic Frontier Approach...

Equity returns and firm's default probability are strictly interrelated financial measures capturing the credit risk profile of a firm. Following the idea proposed in [20] we use high-frequency equity prices in order to estimate the volatility risk component of a firm within Merton [17]...