Search Results - subject:"early warning model"

Asset encumbrance in euro area banks : analysing trends, drivers and prediction properties for individual bank crises

Berthonnaud, Pierre; Cesati, Enrico; Drudi, Maria Ludovica - 2021

part of a multivariate early warning model. …

Persistent link: https://www.econbiz.de/10012617772

How to predict financial stress? An assessment of Markov switching models

Duprey, Thibaut; Klaus, Benjamin - 2017

crisis. Comparing the prediction performance with a standard binary early warning model reveals that the MS model is …

Persistent link: https://www.econbiz.de/10011804372

Predicting vulnerabilities in the EU banking sector: the role of global and domestic factors

Behn, Markus; Detken, Carsten; Peltonen, Tuomas; … - 2016

We estimate a multivariate early-warning model to assess the usefulness of private credit and other macro …

Persistent link: https://www.econbiz.de/10011984812

Predicting vulnerabilities in the EU banking sector : the role of global and domestic factors

Behn, Markus; Detken, Carsten; Peltonen, Tuomo; … - 2016

We estimate a multivariate early-warning model to assess the usefulness of private credit and other macro …

Persistent link: https://www.econbiz.de/10011975644

Interconnectedness of the banking sector as a vulnerability to crises

Peltonen, Tuomas A.; Rancan, Michela; Sarlin, Peter - 2015

This paper uses domestic and cross-border linkages to measure the interconnectedness of the banking sector, and relates it to banking crises in Europe. Beyond cross-border financial linkages of the banking sector, we also account for financial linkages to the other main financial and...

Persistent link: https://www.econbiz.de/10011605911

Predicting distress in European banks

Betz, Frank; Oprica, Silviu; Peltonen, Tuomas A.; … - 2013

The paper develops an early-warning model for predicting vulnerabilities leading to distress in European banks using … warning model are calibrated not only according to the policy-maker’s preferences between type I and II errors, but also to … that complements bankruptcies and defaults with state interventions and mergers in distress. The signals of the early …

Persistent link: https://www.econbiz.de/10011605642

Setting countercyclical capital buffers based on early warning models: would it work?

Behn, Markus; Detken, Carsten; Peltonen, Tuomas A.; … - 2013

for the setting of Basel III / CRD IV countercyclical capital buffers (CCBs) in a multivariate early warning model …

Persistent link: https://www.econbiz.de/10011605649

Predicting distress in European banks

Betz, Frank; Oprica, Silviu; Peltonen, Tuomas A.; … - European Central Bank - 2013

Persistent link: https://www.econbiz.de/10010709528

Setting countercyclical capital buffers based on early warning models: would it work?

Behn, Markus; Detken, Carsten; Peltonen, Tuomas A.; … - European Central Bank - 2013

for the setting of Basel III / CRD IV countercyclical capital buffers (CCBs) in a multivariate early warning model …

Persistent link: https://www.econbiz.de/10010709536

Understanding Differences Between Financial Distress and Bankruptcy

Platt, Harlan D.; Platt, Marjorie B. - 2006

For the most part, research purporting to address the issue of financial distress has actually studied samples of bankrupt companies. Financial distress and bankruptcy are different. In contrast, this paper starts with a sample of companies that are financially distressed but not yet bankrupt....

Persistent link: https://www.econbiz.de/10009444768