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Credit default swaps as indicators of bank financial distress
Avino, Davide; Conlon, Thomas; Cotter, John - 2016
Persistent link: https://www.econbiz.de/10011502511
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On the relationship between borrower and bank risk
Mitkov, Yuliyan; Schüwer, Ulrich - 2024
We use tools from survival analysis to study the equilibrium probability of bank failure in a model with imperfect correlation in loan defaults where a systematic risk factor and idiosyncratic frailty factors govern borrower credit worth. We derive several surprising results: in equilibrium, a...
Persistent link: https://www.econbiz.de/10014520854
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Liquidity, leverage, and Lehman : a structural analysis of financial institutions in crisis
Chen, Ren-Raw; Chidambaran, Nemmara; Imerman, Michael B.; … - In: Journal of banking & finance 45 (2014), pp. 117-139
Persistent link: https://www.econbiz.de/10010466618
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Basel II and bank bankruptcy analysis
Chiu, Yung-ho; Chen, Yu Chuan; Hung, Yu Han - In: Applied economics letters 16 (2009) 16/18, pp. 1843-1847
Persistent link: https://www.econbiz.de/10003932536
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The probability of default in Russian banking
Karminsky, Alexander M.; Kostrov, Alexander - In: Eurasian economic review : a journal in applied … 4 (2014) 1, pp. 81-98
Persistent link: https://www.econbiz.de/10010512216
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Understanding the market reaction to shockwaves : evidence from the failure of Lehman Brothers
Dumotaux, Nicolas; Pop, Adrian - In: Journal of financial stability 9 (2013) 3, pp. 269-286
Persistent link: https://www.econbiz.de/10010237087
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Contagion effect due to Lehman Brothers’ bankruptcy and the global financial crisis : from the perspective of the credit default swaps’ G14 dealers
Salloy, Suzanne; Kazi, Irfan Akbar - 2012
Persistent link: https://www.econbiz.de/10010201410
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Monitoring financial distress in a high-stress financial world : the role of option prices as bank risk metrics
Coffinet, Jérôme; Pop, Adrian; Tiesset, Muriel - In: Journal of financial services research : JFSR 44 (2013) 3, pp. 229-257
Persistent link: https://www.econbiz.de/10010336307
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Stress testing for insolvency
Wolf, Frank; Carlo, Gerardo; Peters, William M. - 2014
Persistent link: https://www.econbiz.de/10010371644
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Possible causes of delay in default in the Czech Republic
Škerliková, Tatiana; Rudolfová, Lucie - In: International journal of economic policy in emerging … 8 (2015) 4, pp. 305-317
Persistent link: https://www.econbiz.de/10011505970