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This study is an empirical investigation of theoretical predictions concerning the impact of bank competition on bank … banking increases, the loan-to-asset ratio will rise (under reasonable assumptions), but the probability of bank failure can … either increase or decrease. However, the probability of bank failure will fall if and only if borrowers' response to take on …
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We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....
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Russian banks have been strongly influenced by the worldwide financial crisis which started in the second half of 2008. This was caused by a combination of domestic, regional and international factors. We estimate an early warning model for the Russian crisis. We identified 47 Russian banks...
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the funding liquidity of liabilities, for 2882 bank holding companies over 2002 to 2014. The aggregate LMI decreases from … system in early 2007. Moreover, LMI predicts a bank's stock market crash probability and borrowing decisions from the … government during the financial crisis. The LMI is therefore informative about both individual bank liquidity and the liquidity …
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