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Modeling the evolution of competitive market structure via competitive group dynamics

Kani, Amirali; Fong, Duncan K. H.; DeSarbo, Wayne - In: Journal of modelling in management 18 (2023) 2, pp. 457-479

Persistent link: https://www.econbiz.de/10014334909

Bank competition and financial stability : much ado about nothing?

Zigraiova, Diana; Havránek, Tomáš - 2015

The theoretical literature gives conflicting predictions on how bank competition should affect financial stability, and … definition of financial stability and bank competition used by researchers influences their results in a systematic way. The … competition and stability, even when corrected for publication bias and potential misspecifications. …

Persistent link: https://www.econbiz.de/10010505135

On a quest for robustness : about model risk, randomness and discretion in credit risk stress tests

Siemsen, Thomas; Vilsmeier, Johannes - 2018

In this paper we study the impact of model uncertainty, which occurs when linking a stress scenario to default probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress testing applications due to short time series for banks'...

Persistent link: https://www.econbiz.de/10011897976

A stress test framework for the German residential mortgage market : methodology and application

Siemsen, Thomas; Vilsmeier, Johannes - 2017

This paper exploits a recent and granular data set for 1,500 German LSIs to conduct a residential mortgage stress testing exercise. To account for model uncertainty when modeling PD dynamics we use a benchmark-constrained Bayesian model averaging approach that combines standard BMA with a...

Persistent link: https://www.econbiz.de/10011764865

Competition in a posted-salary matching market under private information

Boosey, Luke A. - In: The B.E. journal of theoretical economics 16 (2016) 2, pp. 599-631

Persistent link: https://www.econbiz.de/10011507608

Two-Sided Matching and Spread Determinants in the Loan Market

Chen, Jiawei - Department of Economics, University of California-Irvine - 2006

Empirical work on bank loans typically regresses loan spreads (markups of loan interest rates over a benchmark rate) on observed characteristics of banks, firms, and loans. The estimation is problematic when some of these characteristics are only partially observed and the matching of banks and...

Persistent link: https://www.econbiz.de/10004977967

Bank competition and financial stability : much ado about nothing?

Zigraiova, Diana; Havránek, Tomáš - 2015

Persistent link: https://www.econbiz.de/10010509115

Bank competition and financial stability : much ado about nothing?

Zigraiova, Diana; Havránek, Tomáš - In: Journal of economic surveys 30 (2016) 5, pp. 944-981

Persistent link: https://www.econbiz.de/10011569159

A principal-agent approach for estimating firm efficiency : revealing bank managerial behavior

Kutlu, Levent; Mamatzakis, Emmanuel C.; Tsionas, … - In: Journal of international financial markets, … 79 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013358782

A Combined Statistical Framework for Forecasting Default Rates of Greek Financial Institutions’ Credit Portfolios

Klamargias, Aristotelis; Petropoulos, Anastasios; … - 2022

Credit risk modeling remains an important research topic both for financial institutions and the academic community due to its significant contribution to the issue of a bank’s capital adequacy. In this paper we build macro models for the default rates of Greek bank’s loan portfolios....

Persistent link: https://www.econbiz.de/10013492537