Blundell-Wignall, Adrian; Roulet, Caroline - In: OECD Journal: Financial Market Trends 2012 (2012) 2, pp. 7-34
This study models the distance-to-default (DTD) of a large sample of banks with the aim of shedding light on policy and regulatory issues. The determinants of the distance-to-default in a panel sample of 94 banks over the period 2004 to 2011, controlling for the market beta of each bank,...