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portfolios are grouped into three separate groups based on the size of the bank to which they belong, in particular, large …
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performance ratios due to increased leverage imply increased solvency risk for banks. The effect of the liquidity ratio on bank … activity or recapitalizations are likely to adversely affect bank profitability during a stress period. Our findings provide …
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The main idea of this paper is to examine the dependence between the probability of default (PD) and the recovery rate (RR). For the empirical methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression for a sample of 17 Greek banks listed in Athens...
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default rates and can account for macroeconomic factors and have fed each model with portfolio data from a major Greek bank …
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