M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....

We incorporate arguments from the Tiebout model into the regulatory competition equilibrium and study cross-fertilization in the productivity growth of banks between those in a state and others in this state's neighboring states. Empirically, we focus on two time periods: before (i.e.,...

We study the effect of counterparty risk on the ability of Italian banks to access the foreign unsecured interbank market during the sovereign debt crisis in the second half of 2011. With the onset of the crisis, interest rates in the Italian interbank market soared and foreign lending decreased...

This study investigates the non-discretionary determinants of bank loan loss provisions in Africa after controlling for macroeconomic fluctuation, financial development and investor protection. We find that non-performing loans, loan-to-asset ratio and loan growth are significant...

Cooperative banks are small and their survival is not guaranteed by the "Too Big To Fail" policy so that their default can be concrete in time of crises. We analyze the contribution of efficiency to cooperative bank probability of default. We estimate several measures of bank efficiency...

We examine empirically cross-fertilization in the productivity growth of banks between a state and its neighboring and non-neighboring states before (1971-1977) and during (1982-1995) the interstate multibank holding company (IMBHC) deregulations, upon which, cross-border bank M&As, mainly among...

Using balanced annual observations of insured US commercial banks, this paper investigates the nonlinear impacts of the lagged capital ratio on the interest rate spread by employing the panel threshold regression model with one and two threshold variables which divide our sample into two and...

In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...

Yield curves are used to imply the forward rates and discount factors from market tradable instruments and are required to discount future cash flows and evaluate the price of all financial contracts. Not all instruments can be included in the yield curve calibration or fitting process, hence we...

The move from the originate-to-hold to originate-to-distribute model of lending profoundly transformed the functioning of credit markets and weakened the natural asset transformation function performed by financial intermediaries for centuries. This shift also compromised the role of banks in...