This paper investigates the relationship between operating cost efficiency and the loan quality of Rus-sian banks. It tries to answer the question whether it is always beneficial for banks to be highly cost effi-cient (the “bad management” hypothesis) or whether this higher cost efficiency...

We develop distress prediction models for non-financial small and medium enterprises (SMEs) using a dataset from eight European countries over the period 2000-2009. We examine idiosyncratic and systematic covariates and find that macro conditions and bankruptcy codes add predictive power to our...

In this paper we develop a joint non-parametric approach to the problem of the decomposition of bond yields and CDS spreads. The proposed approach is essentially an infinite-dimensional modification of the Heath-Jarrow-Morton framework and is general enough to capture even very non-trivial...

This paper examines the impact of credit and liquidity risk on bank's financial performance. This study especially focuses on Indonesian Conventional Bank with total asset above 10 trillion Rupiah within 2007 to 2011. Bank financial performances are measured by return on asset, return on equity...

In international trade transactions one of the primary concerns of exporters is payment for goods sold to foreign buyers. Country risk and customer risk are two components of the exporter's overall credit risk. One effective means of reducing these risks is through the choice of an appropriate...

This paper investigates whether the ownership structure influences the risk taking of the Tunisian quoted banks over the period 2000-2008. Overall, it can be gathered from the results of this study that the effect of ownership structure on bank risk taking varies according to the type of risk....

The paper provides empirical evidence on the impact of economic freedom on bank efficiency. By employing the data envelopment analysis (DEA) method, we compute the efficiency of the Indonesian banking sector during the post-Asian financial crisis period of 1999-2008. The empirical findings from...

This study investigates the dynamic relationship between the Greek sovereign Credit Default Swap (CDS) and bond markets, using daily CDS and bond spreads from January 2006 to December 2010. We attempt to enlighten the conflicting conclusions of previous literature referring to sovereign credit...

This paper reexamines the determinants of credit default swaps (CDS) spreads in the U.S., Europe, and Asia-Pacific markets with a new data set using linear regressions. These determinants are categorized into two groups: firm level and macroeconomic variables. We also include two non-traditional...

Existing literature has focused attention on the impact of Basel I and similar capital requirement regulations on developed countries where such regulations were found to be effective in increasing capital ratios and reducing portfolio credit risk of commercial banks. In the present study, we...