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Merton''s (1974) structural model of credit risk. The indicator is estimated using equity prices and balance-sheet data for … 38 banks in 14 emerging market countries. Results show it can predict a bank''s credit deterioration up to nine months in …
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America, and Europe, as well as selected economies from the developed world, panel regressions are estimated to quantify the …
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Europe as well as selected economies from the developed world, panel regressions are estimated to quantify the impacts of the …
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We propose a modeling framework which allows for creating probability predictions on a future market crash in the medium term, like sometime in the next five days. Our framework draws upon noticeable similarities between stock returns around a financial market crash and seismic activity around...
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and deteriorating government finances are highly significant leading indicators. Taking these indicators into account …
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index is based on publicly available data describing a six-market partition of the financial system comprising credit …
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