We use a spatial Probit model to study the effect of contagion between banking systems of different countries. Applied to the late 90’s banking crisis in Asia we show that the phenomena of contagion is better seized using a spatial than a traditional Probit model. Unlike the latter, the...

This paper evaluates the optimal bail-out and bail-in mix in the case of bankruptcy of Banco Espírito Santo (BES), SA, the second largest Portuguese private bank. The solution after the crisis of the BES, was to partition the bank into a good bank (Novo Banco (New Bank)) and keep the toxic...

Because a borrower often faces switching costs in dealing with individual banks, the financial health of any given bank might affect the borrower's cost of funds. These costs would be particularly large for firms that have close relationships with relatively few banks. The purpose of this paper...

Trade credit is one of the most important sources of short-term external finance for small firms. Previous literature has focused mainly on the substitution of bank loans for trade credit during monetary tightening among many firms, but in this paper we investigate the role of trade credit...

A common problem in credit risk management is the estimation of probabilities of rare default events in high investment grades, when sufficient default data are not available. In addressing this issue, increasing attention has been paid to the use of continuous time Markov chains for modeling...

Using term structure data of Credit Default Swap (CDS) spreads for the four Japanese mega-banks and the government, we jointly estimate the default intensity and expected recovery (loss) given a default. In doing so, we attempt to further identify the difference in the expected recovery ratios...

After the collapse of the asset price bubble, Japanese banks are said to have been reluctant to write off bad loans, even in cases where there is little prospect of borrower firms being able to repay the loans extended. This phenomenon is known as forbearance lending. We illustrate this using a...

Bu çalışmada, küresel finansal kriz sonrası süreçte önemi daha net anlaşılan likidite riskinin piyasalarda neden olduğu belirsizliklerden hareketle, finansal kuruluşlarca konuya ilişkin yapılacak kamuya açıklamanın geliştirilmesine dönük bir likidite stres testi yaklaşımı...

This paper aims to investigate the actual nature of the interest rate pass-through to Turkish cash, automobile, housing and corporate loan rates. Focusing on the possibility of nonlinearity in the adjustment of lending rates due to financial market conditions and monetary policies, we adopt the...

Credit rating is at the heart of conventional loan business and gaining more importance due to a new regulatory environment for capital adequacy. This paper investigates one of the essentials of credit rating, non-financial factors, with a context of informal sectors and regions. We have...