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Skewness of returns, capital adequacy, and mortgage lending

Dimou, Paraskevi; Lawrence, Colin; Milne, Alistair - In: Journal of financial services research : JFSR 28 (2005) 1/2/3, pp. 135-161

Persistent link: https://www.econbiz.de/10003227605

Skewness of Returns, Capital Adequacy, and Mortgage Lending

Dimou, Paraskevi; Lawrence, Colin; Milne, Alistair - In: Journal of financial services research : JFSR 28 (2005) 1, pp. 135-162

Persistent link: https://www.econbiz.de/10007021638

Skewness of Returns, Capital Adequacy, and Mortgage Lending

Dimou, Paraskevi; Lawrence, Colin; Milne, Alistair - In: Journal of Financial Services Research 28 (2005) 1, pp. 135-161

Persistent link: https://www.econbiz.de/10005680195

Prediction of bank rating transition probabilities

Dimou, Paraskevi; Milne, Alistair; Campolongo, Francesca - Society for Computational Economics - SCE - 2006

The objective of this paper is to determine whether information from equity markets, as summarized in the distance to default measure derived from Merton-MKMV, is useful for modeling and predicting bank credit ratings. We use the BankScope database and Bloomberg to build a data set comprising of...

Persistent link: https://www.econbiz.de/10005342971