useful for estimating recovery rates required by many popular models of credit risk and for determining collateral haircuts … requirements and reviewing banks' lending standards relative to current collateral values. …

Interest rate risk is a major concern for banks because of the nominal nature of their assets and the asset … determine its overall interest rate risk. Empirical evidence indicates that low-slack banks indeed have significantly more … interest rate risk than high-slack banks. The model also makes predictions regarding the effect of deposit and lending rate …

fundamentals to price global bank credit risk. First, we find that variables predicted by structural models (leverage, volatility …Using a sample of 161 global banks in 23 countries, we examine the applicability of structural models and bank …, and risk-free rate) are significantly associated with bank CDS spreads. Second, some CAMELS indicators, including asset …

establish that the risk of the relatively large banks and banks that failed in the subprime crisis is higher than the industry …This paper reconsiders the formal estimation of bank risk using the variability of the profit function. In our model … characteristics, such as capital and liquidity. We estimate the new model on the entire panel of US banks, spanning the period 1985q1 …

Whether or not banks are engaged in ex ante monitoring of customers may have important consequences for the whole … economy. We approach this question via a model in which banks can invest in either information acquisition or market power … local banks. We find evidence that banks’ investments in branch networks and human capital (personnel) contribute to …

banks that are in trouble through prompt corrective action and if necessary resolving them if their net worth falls to zero …

. There are two competing banks in the model, and payment services offered to the public are among their main products. The … investment depends critically on the pricing of payment services. If banks offer payment services free of charge, their …

of the relative health of community banks on economic growth and investigating potential transmission mechanisms for … market shares and higher efficiency rankings for small, private, domestically owned banks are associated with better economic … performance, and that the marginal benefits of larger shares are greater when the banks are more efficient. Only mixed support is …

on European banks is exploited with simulated scale-free networks. The average contagion affected 70% and 40% of European … banks’ total assets in 2007 and in 2010, respectively. Country-level results suggest that French, British, German and … Spanish banks are the most contagious ones, whereas banks from Ireland, Greece and Portugal induce only limited negative …