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Outright bank failures without prior indication of financial instability are very rare. Supervisory authorities monitor … regarded as troubled to varying degrees before outright closure. But to our knowledge virtually all studies that predict bank … failures neglect the ordinal nature of bank distress. Exploiting the distress database of the Deutsche Bundesbank we …
Persistent link: https://www.econbiz.de/10010295922
In this paper we stress-test credit portfolios of 28 German banks based on a Mertontype multi-factor credit risk model. The ad-hoc stress scenario is an economic downturn in the automobile industry that constitutes an exceptional but plausible event suggested by historical data. Rather than on a...
Persistent link: https://www.econbiz.de/10010298778