lasting retail-orientation is likely to be linked to their exposure to the risk of strategic investor behavior at times of …

) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if … concentrations on the credit risk of the portfolio. Our empirical results suggest that specialization benefits overcompensate the … increase of portfolio risk due to the higher sectoral concentration. If specialization is instead measured by distance measures …

styles under a number of criteria including consistency from an accounting standpoint, counterparty risk hedgeability …

-blown banking system crises. In this paper we introduce a continuous and forward-looking stability indicator for the banking system …

studies conducted in 11 countries to explore liquidity risk transmission. Among the main results is, first, that explanatory … power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …

2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected … risk in the US financial sector. We find that the PoDs are superior to CDS in identifying the high risk banks prior to the …

We derive multivariate risk-neutral asset distributions for major US financial institutions (FIs) using option implied … marginal risk-neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated … scenarios in the financial sector. Empirical results around the period of the US sub-prime crisis show that the proposed risk …

sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by … deteriorating funding conditions and investor sentiment. While the equity return performance in the banking sector has been dismal …