This paper demonstrates that the level of competition in the existing Panzar Rosse (P-R) literature is systematically overestimated and that the tests on both monopoly and perfect competition are distorted. This is due to the use of bank revenues divided by total assets as dependent variable in...

This paper studies banks' competitive behavior on the deposit side of the Italian retail banking industry. We use a structural model to estimate demand for deposit services and test several supply models. We find that both the competitive, differentiated product Bertrand and the perfectly...

This paper is the first detailed and world-wide investigation of the developments in banking competition during the past fifteen years. Using the Panzar-Rosse approach, we establish significant changes over time in the competitiveness of the banking industry. The changes in competition over time...

This paper studies banks' competitive behavior on the deposit side of the Italian retail banking industry. We use a structural model to estimate demand for deposit services and test several supply models. We find that both the competitive, differentiated product Bertrand and the perfectly...

This thesis consists of five self-contained papers on factor demand and market power. <p> The main objective of Paper [I] is to analyze potential effects on the Swedish forest sector of a continuing rise in the use of forest resources as a fuel in energy generation. The background to the problem...</p>

The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio composed of different commercial banks might be obtained for a...

Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...

Group-specific estimations can significantly improve the predictive power of accountingbased rating models. This is shown using a binary logistic regression model applied to the Deutsche Bundesbank's USTAN dataset, which contains 300,000 financial statements provided by German companies for the...

This paper presents a methodology to calculate the Systemic Risk Ranking of financial institutions in the European banking sector using publicly available information. The pro- posed model makes use of the network structure of financial institutions by including the stock return series of all...

When back-testing the calibration quality of rating systems two-sided statistical tests can detect over- and underestimation of credit risk. Some users though, such as risk-averse investors and regulators, are primarily interested in the underestimation of risk only, and thus require one-sided...