Considering the attention placed on SMEs in the new Basel Capital Accord, we propose a set of Bayesian and classical longitudinal models to predict SME default probability, taking unobservable firm and business sector heterogeneities as well as analysts’ recommendations into account. We...

According to the last proposals by the Basel Committee, banks are allowed to use statistical approaches for the computation of their capital charge covering financial risks such as credit risk, market risk and operational risk. It is widely recognized that internal loss data alone do not suffice...

The recent European sovereign debt crisis clearly illustrates the importance of measuring the contagion effects of bank failures. Indeed, to better understand and monitor contagion risk, the European Central Bank is assuming the supervision of the largest banks in each of the member states. We...

Social media, such as blogs and on-line forums, contain a huge amount of information that is typically unorganized and fragmented. An important issue, that has been raising importance so far, is to classify on-line texts in order to detect possible anomalies. For example on-line texts...