Allen, David E.; Boffey, R. R.; Powell, Robert - 2011
impaired assets as our measure of bank risk. Previous studies in other countries have tended to focus on the impact of bank … specific factors, such as size and return on equity, in explaining bank risk. Our approach involves including those traditional … variables, plus Distance to Default (DD), and a novel contagion variable, which is the effect of major global bank DD on …