Showing 1 - 10 of 7,244
macroeconomic environment, affect the risk profiles of the banking sector in Europe. Through a dataset that covers 3,399 European … Central and Eastern Europe and the Commonwealth of Independent States that have not been studied before. The extended model …
Persistent link: https://www.econbiz.de/10011760927
This paper empirically analyzes the determinants of credit default swap (CDS) spreads from a sample of 45 listed European banks over the 2004-2010 period. We use variables related to accounting- and market-based data, an indicator of liquidity in the CDS market and several variables from the...
Persistent link: https://www.econbiz.de/10013006847
Are foreign banks subjected to adverse selection in a highly integrated banking market? Recent evidence from the European Banking Authority (EBA) given after EU-wide stress testing suggests that they do not. I find that foreign banks seem to be better at managing credit risks, thanks to more...
Persistent link: https://www.econbiz.de/10012967400
Recent literature suggests that regulatory risk measures do not adequately capture the actual economic risk of bank portfolios. We shed new light on this issue by analyzing both unexpected and expected losses and their assessment according to regulatory and accounting standards. Examining a...
Persistent link: https://www.econbiz.de/10012902048
We investigate the interdependence of the default risk of several Eurozone countries (France, Germany, Italy, Ireland, Netherlands, Portugal, and Spain) and their domestic banks during the period June 2007 - May 2010, using daily credit default swaps (CDS). Bank bailout programs changed the...
Persistent link: https://www.econbiz.de/10013114736
We show that the speed and type of corporate deleveraging depends on the interaction between corporate and financial sector health. Based on granular bank-firm data pertaining to small and medium-sized enterprises (SME) from five stressed and two non-stressed euro area economies, we show that...
Persistent link: https://www.econbiz.de/10011732738
Objective - This paper uses a sample of annual observations of European banks to examine whether the liquidity risk affects a bank's risk-taking behavior and its future loan growth.Methodology – A sample of European banks (27 member countries of the European Union plus U.K.) over the period of...
Persistent link: https://www.econbiz.de/10013323941
This paper uses a supervised machine learning algorithm to extract relevant (soft) information from annual reports and examines whether such information determines credit risk (as measured by non-performing loans, Ohlson’s O-score, Altman’s Z-score, and credit rating downgrades). The paper...
Persistent link: https://www.econbiz.de/10013294628
Targets defined in accordance with Environmental, Social and Governance (ESG) criteria confront the business world, particularly the banking industry, with new challenges. The aim of this paper is to study the effect of ESG controversies on the credit rating of the European banking sector,...
Persistent link: https://www.econbiz.de/10013407140
We show that the speed and type of corporate deleveraging depends on the interaction between corporate and financial sector health. Based on granular bank-firm data pertaining to small and medium-sized enterprises (SME) from five stressed and two non-stressed euro area economies, we show that...
Persistent link: https://www.econbiz.de/10011646515