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The topic of bank default risk in connection with government bailouts has recently attracted a great deal of attention. In this paper, the question of how a bank’s default risk is affected by a distress acquisition is investigated. Specifically, the government provides a bailout program of...
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, but leads to income volatility. We introduce a statistical framework to model this trade-off between early recognition of … credit risk and avoidance of excessive income volatility. We analyze the resulting optimization problem for different models …
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