We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the … interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on … Eigenkapitalregulierung unterliegt und über die Möglichkeit des Kreditrisikohandels mittels Credit Default Swaps (CDS) verfügt. Zur Analyse …

I model an incomplete markets economy where unaware agents do not perceive all states of nature, so unintended default … can occur when asset returns differ from what was perceived. The presence of default plays a crucial role in the proof of … delivery-adjusted asset returns. The First Fundamental Welfare Theorem fails because of default and pecuniary inefficiencies …

The paper aims to analyze the effect of bank risk appetite on banks' default probabilities during the year of COVID-19 … of Moments (GMM) model of default probabilities is estimated over the periods 2010-2021. This study confirms the 'risk … the probability of bank default. Underperforming banks tend to have a higher portion of risky loans in their credit …

With the record high leverage across all segments of the (global) economy, default prediction has never been more … defaulters, we model default probability using a doubly stochastic Poisson process. Our paper is unique in that it uses a large … 76%, one and three years prior to default, respectively. What we lose in (data) quality, we regain in (data) quantity …

qualitative criteria using a mathematical model based on a fuzzy technology, which can forecast the increased risk of loan default …

recommendations and defaults change average contributions. We report a negative interaction of the default with intrinsic motivation …

. In particular, we can numerically support the usual simplification in the absence of default risk. In case that firms are … default-risky, however, empirical findings indicate a clear difference between these costs equal to 1.88 percentage points on … company cost of capital does practically not depend on the debt ratio if the firm is not subject to default risk or if …