alternative model to Basel framework is derived where systemic risk is taken into account in each bank's dynamic. This might be a … systemic risk. Moreover, bank regulation is considered in a two-scale level, either at the bank level or at the system … compute the capital ratio threshold per year for each bank and each country and we rank them according to their level of …

This paper investigates whether market information could add to accounting information in the prediction of bank …

This paper investigates whether market information could add to accounting information in the prediction of bank …

subordonnée sur la performance ex-post d'un échantillon de 500 banques européennes sur la période 1996-2003. Les principaux …

paper introduces a measure of the threat that a bank poses to the system. Such a measure, called threat index, may be … individual institutions to the risk in the system. Although the threat index and the default level of a bank both reflect some …