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EU banks rating assignments : is there heterogeneity between new and old member countries?

Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2010

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our …

Persistent link: https://www.econbiz.de/10003971004

EU banks rating assignments : is there heterogeneity between new and old member countries?

Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2010

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our …

Persistent link: https://www.econbiz.de/10003974520

EU Banks Rating Assignments : Is There Heterogeneity between New and Old Member Countries?

Caporale, Guglielmo Maria - 2010

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our …

Persistent link: https://www.econbiz.de/10013141115

EU Banks Rating Assignments : Is there Heterogeneity between New and Old Member Countries?

Caporale, Guglielmo Maria - 2013

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our …

Persistent link: https://www.econbiz.de/10013094667

Model and estimation risk in credit risk stress tests

Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...

Persistent link: https://www.econbiz.de/10011981523

Model and Estimation Risk in Credit Risk Stress Tests

Grundke, Peter - 2019

Persistent link: https://www.econbiz.de/10012889015

Risk sensitivity of banks, interbank markets and the effects of liquidity regulation : conference paper

Pausch, Thilo - 2013 - First draft

regulatory liquidity requirements on bank behavior. A multi-stage decision situation allows for considering the interaction … between credit risk and liquidity risk of banks. This interaction is found to make a risk neutral bank behave as if it were …

Persistent link: https://www.econbiz.de/10010344667

The impact of the Basel accord on Greek banks : a stress test study

Leventides, John; Donatou, Anna - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 181-197

portfolios are grouped into three separate groups based on the size of the bank to which they belong, in particular, large …

Persistent link: https://www.econbiz.de/10011545145

The relationship between internal control and credit risk : the case of commercial banks in Vietnam

Nguyen Kim Quoc Trung - In: Cogent business & management 8 (2021) 1, pp. 1-17

This study examines whether the agency problem regarding credit risk is a useful corporate governance mechanism for controlling credit risk. For this purpose, we estimate the impact of internal control and agency problems on credit risk in commercial banks in Vietnam from 2009 to 2018. First, in...

Persistent link: https://www.econbiz.de/10012661269

Internal factors and non-performing financing in Indonesian Islamic rural banks

Muhammad, Rifqi; Suluki, Ahsin; Nugraheni, Peni - In: Cogent business & management 7 (2020) 1, pp. 1-12

(CAR), Bank size and third-party funds (TPF). The sample in this study comprised 162 IRBs using quarter-year financial … reports and examined using panel data regression. The statistical results show that ROA, CAR and bank size have a significant …

Persistent link: https://www.econbiz.de/10012643944

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