measure of co-movements in bank risk by means of a dynamic factor model, which allows to decompose an indicator of bank … fragility, the Distance-to-Default, into three main components: an EU- wide, a country-specific and a bank-level idiosyncratic … component. Our results show the commonality in bank risk appears to have significantly increased since 1999, in particular if …

in risk to the banking sector. This questions the ''innocence'' of the bank owners in the crisis that have often followed … as a proportion of funds available. Finally we draw policy implication with respect to bank supervision, forbearance and … bank failure resolution procedures during the transition period, and about the so-called ''liberalization sequencing.'' …

This paper evaluates bank exit regimes in selected financial centres using econometric methods. The focus is on bank … exit regimes applicable to commercial banks in New York, London, Frankfurt, Helsinki and Tokyo in 1998–2002. Bank exit … regimes are studied from the perspective of bank creditors and bank shareholders. In order to apply econometric methods, the …

fixed income unless the value of the bank’s assets falls below a predetermined threshold. In such an event, the debt … obligation is automatically converted to the bank’s common equities. By using a contingent claims valuation approach we present … bank that includes DES or alternatively subordinated debt in its capital structure. We compare and evaluate quantitatively …