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banks. This suggests that the ability and willingness of the bank to punish the firm for misbehaving play an important role …
Persistent link: https://www.econbiz.de/10012992079
Persistent link: https://www.econbiz.de/10013045203
We develop a new model for solvency contagion that can be used to quantify systemic risk in stress tests of financial networks. In contrast to many existing models it allows for the spread of contagion already before the point of default and hence can account for contagion due to distress and...
Persistent link: https://www.econbiz.de/10012932974
This article presents a comprehensive framework for valuing financial instruments subject to credit risk and collateralization. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats to financial markets. Some...
Persistent link: https://www.econbiz.de/10013035565
. These findings suggest that the bank supply shock theory helps to understand the transmission channel of shocks from the …, firms with strong dependence on bank financing suffer higher increases in default risk than firms with no such dependence … financial sector to the real economy. Finally, bank-dependent firms cannot completely offset adverse impacts stemming from bank …
Persistent link: https://www.econbiz.de/10013062942
bank-firm CDS net notional and credit exposures we find that the probability of default for CDS firms drops when the effect …
Persistent link: https://www.econbiz.de/10012697959
bank-firm CDS net notional and credit exposures we find that the probability of default for firms with CDS traded on them …
Persistent link: https://www.econbiz.de/10012181510
value ratio, credit history and borrower's type (whether borrower receives income in that bank). Average prediction accuracy … by the National Bank of Georgia to estimate the adequacy of loan loss provisions, to assess commercial banks credit …
Persistent link: https://www.econbiz.de/10012947708
This study investigates the inter-relationship between audit committee effectiveness, bank efficiency and risk … relation. Our results show that audit committee effectiveness reduces bank risk-taking through increasing bank efficiency. This … literature the relationship between audit committee effectiveness and bank risk-taking by examining the mechanism behind this …
Persistent link: https://www.econbiz.de/10014429678
Surveys of bank efficiency intrinsically draw conclusions based on the assumption that all banks in a sample use the … efficiency estimates by assigning incorrectly these deviations as inefficiency. We approach these consideration by estimating the … model by using data of the Greek banking sector for the period 1993-2008.Our results reveal that the Greek bank …
Persistent link: https://www.econbiz.de/10013121159