Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance. It is most simply defined as the...

To ensure that central counterparties (“CCPs”) are safe in all market conditions the European Union (EU) has adopted legislation, commonly known as the European Market Infrastructure Regulation (“EMIR”) that deals with their organisational requirements, including prudential requirements...

Das internationale Bankensystem stand in den vergangenen Jahren im Fokus des öffentlichen Interesses. Bei der Diskussion möglicher Optionen zur Verbesserung der Finanzsystemstabilität rückt zunehmend die Corporate Governance in Banken in den Fokus. Der vorliegende Forschungsbericht widmet...

The paper examines the relationship between CSR and cost of equity in an in-ternational context assessing the moderating effect of culture on the relation between CSR and the cost of equity. We use an international sample of 42 countries, and company-level data from 2002-2013, to address...

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...

The Basel Committee's reform to strengthen the global capital framework, known as Basel III, takes into account a series of measures to address procyclicality and, consequently, make banks' capital requirements more stable during the different phases of the economic cycle. The range of possible...

An important research question examined in the credit risk literature focuses on the proportion of corporate yield spreads attributed to default risk. This topic is reexamined in the light of the different issues associated with the computation of transition and default probabilities obtained...

This study investigates the factors affecting the loan quality of banking sector in seventeen emerging and developing markets using quarterly panel dataset covering period of 2010–2019 and utilising feasible generalised least square methodology. Our empirical analysis suggests that inflation...