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Systemic risk among European banks : a copula approach

Kleinow, Jacob; Moreira, Fernando - In: Journal of international financial markets, … 42 (2016), pp. 27-42

Persistent link: https://www.econbiz.de/10011673405

Modelling deposit insurance scheme losses in a Basel 2 framework

De Lisa, Riccardo; Zedda, Stefano; Vallascas, Francesco; … - In: Journal of financial services research : JFSR 40 (2011) 3, pp. 123-141

Persistent link: https://www.econbiz.de/10009532396

Guide to optimal operational risk & Basel II

Akkizidis, Ioannis S.; Bouchereau, Vivianne - 2006

Persistent link: https://www.econbiz.de/10002851084

Creditworthiness of SME's : the case of small business assistance in Turkey

Caner, Selcuk; Karan, Mehmet Baha - In: Multinational finance journal : MF ; quarterly … 16 (2012) 1/2, pp. 1-20

Persistent link: https://www.econbiz.de/10010257556

Systemic risk modeling : how theory can meet statistics

Espinoza, Raphael A.; Segoviano, Miguel A.; Ji, Yan - 2020

We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models used to understand the channels of transmission of systemic risk. The theoretical model allows for systemic risk due to interbank counterparty risk, common asset exposures/fire...

Persistent link: https://www.econbiz.de/10012251307

The doble default value-of-the-firm model

Gouriéroux, Christian; Monfort, Alain - In: The journal of credit risk : published quarterly by … 12 (2016) 2, pp. 47-76

Persistent link: https://www.econbiz.de/10011597891

Moral hazard and default risk of SMEs with collateralized loans

Castillo, José A.; Mora-Valencia, Andrés; Perote, Javier - In: Finance research letters 26 (2018), pp. 95-99

Persistent link: https://www.econbiz.de/10012005593

Is bank risk appetite relevant to bank default in times of Covid-19?

Pei-Ling Lee; Chun Teck Lye; Lee, Chin - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 3, pp. 109-117

The paper aims to analyze the effect of bank risk appetite on banks' default probabilities during the year of COVID-19 … of Moments (GMM) model of default probabilities is estimated over the periods 2010-2021. This study confirms the 'risk … the probability of bank default. Underperforming banks tend to have a higher portion of risky loans in their credit …

Persistent link: https://www.econbiz.de/10013407192

Optimal risk sharing and dividend strategies under default contagion : a semi-analytical approach

Qiu, Ming; Jin, Zhuo; Li, Shuanming - In: Insurance / Mathematics & economics 113 (2023), pp. 1-23

Persistent link: https://www.econbiz.de/10014466202

Selection and application of appropriate analytical methods needed to assess the risks reducing the security of the protected system

Reits̆pís, Josef; Mas̆ĺan, Martin; Britchenko, Igor - In: Baltic Journal of Economic Studies 7 (2021) 3, pp. 1-8

Persistent link: https://www.econbiz.de/10012615944

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