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means that, surprisingly, the association between stock prices and spreads of the banking sector does not seem to surge in …
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Macro-stress testing studies often rely on rather short sample periods due to the limited availability of banking data …. They may fail to appropriately account for the cyclicality in the interaction between the banking system and macroeconomic … to model the interaction between the banking sector and the macroeconomy. Our identified-VAR analysis indicates that the …
Persistent link: https://www.econbiz.de/10005818895
Banks should evaluate whether a borrower is likely to default. The author applies several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset and liabilities...
Persistent link: https://www.econbiz.de/10008561122
We examine the informational effects of M&As by investigating whether bank mergers improve banks� ability to screen borrowers. By exploiting a dataset in which we observe a measure of a borrower�s default risk that the lenders observe only imperfectly, we find evidence of these...
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analyzes the implications of the euro for cross-border banking activities. A portfolio model is used which captures the role of …
Persistent link: https://www.econbiz.de/10005700501