Showing 1 - 5 of 5
improves the performance of discrete choice models in forecasting systemic events. Our framework shows a good out …
Persistent link: https://www.econbiz.de/10011605357
This paper assesses the usefulness of private credit variables and other macrofinancial and banking sector indicators for the setting of Basel III / CRD IV countercyclical capital buffers (CCBs) in a multivariate early warning model framework, using data for 23 EU Members States from 1982 Q2 to...
Persistent link: https://www.econbiz.de/10011605649
improves the performance of discrete choice models in forecasting systemic events. Our framework shows a good out …
Persistent link: https://www.econbiz.de/10013128992
policymaker's preferences, and the forecasting horizons …
Persistent link: https://www.econbiz.de/10013120562
The paper develops an early-warning model for predicting vulnerabilities leading to distress in European banks using both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset that complements bankruptcies and defaults with state...
Persistent link: https://www.econbiz.de/10013074637