By examining the distribution of state prices obtained from binomial versions of Jarrow and Turnbull (1995), Lando (1998) and Duffie and Singleton (1999), we are able to suggest which credit risk parameters are of critical interest. We find that it appears worthwhile to parameterize credit risk...

This paper finds that while covered interest rate parity holds for large and small triple A rated economies, it holds for emerging markets only for a three-month maturity. For a five-year horizon the size and frequency of violations lead to the conclusion that covered interest rate parity does...

We empirically examine the quality of accounting information that authorities utilise when conducting bank stress tests and provide evidence on how this information links to the outcome of these tests. Based on a unique dataset of tested and non-tested banks from 27 European countries, we...