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Liquidity and Solvency Shocks in Interbank Lending and the Prediction of Bank Failures : Analysis of a Network Model of Systemic Risk

Krause, Andreas; Giansante, Simone - 2022

We analyze the determinants of individual bank failures arising from solvency and liquidity shortages in a stylized … by exogenously failing a bank and then investigate the likelihood of an individual bank failing. Most notably we find … that the probability of a bank failing depends on the characteristics of the network of interbank loans and the market …

Persistent link: https://www.econbiz.de/10013309573

The Credit-to-GDP Gap and Countercyclical Capital Buffers : Questions and Answers

Drehmann, Mathias - 2014

Basel III uses the gap between the credit-to-GDP ratio and its long-term trend as a guide for setting countercyclical capital buffers. Criticism of this choice centres on three areas: (i) the suitability of the guide given the objective of the buffer; (ii) the early warning indicator properties...

Persistent link: https://www.econbiz.de/10013052172

Predicting bank defaults in Ukraine : a macro-micro perspective

Hlazunov, Anatolii; Verchenko, Olesia - In: Visnyk Nacionalʹnoho Banku Ukrai͏̈ny (2020) 250, pp. 33-44

Persistent link: https://www.econbiz.de/10012587231

Validation of corporate probability of default models considering alternative use cases

Jacobs, Michael <Jr.> - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-22

In this study, we consider the construction of through-the-cycle ("TTC") PD models designed for credit underwriting uses and point-in-time ("PIT") PD models suitable for early warning uses, considering which validation elements should be emphasized in each case. We build PD models using a long...

Persistent link: https://www.econbiz.de/10012698321

Asset encumbrance in euro area banks : analysing trends, drivers and prediction properties for individual bank crises

Berthonnaud, Pierre; Cesati, Enrico; Drudi, Maria Ludovica - 2021

. Building on these findings, we show that asset encumbrance indicators carry predictive information for bank-specific crises as …

Persistent link: https://www.econbiz.de/10012617772

The credit-to-GDP gap and complementary indicators for macroprudential policy : evidence from the UK

Giese, Julia; Andersen, Henrik; Bush, Oliver; Castro, … - In: International journal of finance & economics : IJFE 19 (2014) 1, pp. 25-47

Persistent link: https://www.econbiz.de/10010470972

News-Based Sentiment Indicators

Huang, Chengyu - 2020

We construct sentiment indices for 20 countries from 1980 to 2019. Relying on computational text analysis, we capture specific language like 'fear', 'risk', 'hedging', 'opinion', and, 'crisis', as well as 'positive' and 'negative' sentiments, in news articles from the Financial Times. We assess...

Persistent link: https://www.econbiz.de/10012843513

Forecasting the Fragility of the Banking and Insurance Sector

Bernoth, Kerstin - 2011

This paper considers the issue of forecasting financial fragility of banks and insurances using a panel data set of performance indicators, namely distance-to-default, taking unobserved common factors into account. We show that common factors are important in the performance of banks and...

Persistent link: https://www.econbiz.de/10013134544

Forecasting the fragility of the banking and insurance sector

Bernoth, Kerstin; Pick, Andreas - 2009

This paper considers the issue of forecasting financial fragility of banks and insurances using a panel data set of performance indicators, namely distance-to- default, taking unobserved common factors into account. We show that common factors are important in the performance of banks and...

Persistent link: https://www.econbiz.de/10003832732

Forecasting Bank Capital Ratios Using the Prophet Model by Facebook

Kolari, James W.; Sanz, Ivan - 2022

This study investigates the efficacy of the Prophet model by Facebook with respect to forecasting bank capital ratios …. Bank financial ratios and macroeconomic information are combined to forecast total risk-adjusted capital ratios for 19 … estimates bank capital ratios over time. As validation, out-of-sample tests indicate that forecasting errors are smaller for …

Persistent link: https://www.econbiz.de/10013405274