We empirically explore the link between Level 3 fair value estimates and banks' default risk as well as default costs. Both variables are especially important to banks' creditors and the regulatory authorities that rely on the information in financial statements. In a fixed-effects panel model,...

We empirically explore the link between Level 3 fair value estimates and banks' default risk as well as default costs. Both variables are especially important to banks' creditors and the regulatory authorities that rely on the information in financial statements. In a fixed-effects panel model,...

The aim of this paper is to evaluate the contribution of several aspects of the bank-firm relationships in anticipating the corporate default event at least one year before. Using a unique dataset on a sample of 113 co-operative credit banks and about 12,000 firms operating in Italy, between...

This empirical examination of the effect of rollover risk on default risk uses a database of U.S. industrial firms during 1986-2011. This article represents the most comprehensive empirical study to date to support the existence of a rollover risk effect on default risk. This paper investigates...

Does relationship bank oversight improve firm operational efficiency and reduce default risk? I find that a new loan from a relationship bank improves the technical efficiency of inefficient firms that have an elevated probability of default. Moreover, borrowing firms with elevated default risk...

This paper provides a comprehensive examination of the time series behavior of relationship banks around and during borrower distress. Relationship and outside loans have similar interest rates during distress, and even two years prior to distress. Relative to outside loans in distress,...

We study the effect of rollover risk on the risk of default using a comprehensive database of U.S. industrial firms during 1986–2013 This article is the most thoroughgoing empirical research to date to support the existence of a rollover risk effect on the risk of default. A one standard...

We examine whether CDS contracts written on individual banks are effective leading indicators of bank financial distress during a period of systemic bank crisis. Changes in CDS spreads are found to yield a robust signal of failure across a set of European and US banks, in keeping with indirect...

Short-term financing, e.g., asset-backed commercial paper (ABCP) or repurchase agreements (repo), was prevalent prior to the 2007-2008 financial crises. Banks funded by short-term debts, however, are exposed to rollover risk as the banks are unable to raise sufficient funds to finance their...