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important private bank in Algeria in the face of liquidity risk. Our empirical analysis adopts a bottom-up approach based on an … accounting method. It studies the relationship between the bank solvency ratio (ratio cook) and bank portfolios, such as loans to … the construction, trade, industry, and automotive sectors. Microeconomic stress tests assess the credit risk of a bank …
Persistent link: https://www.econbiz.de/10012793520
arbitrage. I develop a framework to study bank regulation with strategic selection of risk models. A bank supervisor can …
Persistent link: https://www.econbiz.de/10011958937
This paper outlines a framework based on microdata and a structural model to gauge credit risk in banks' exposures to non-financial firms. Sectoral risk factors are accounted for using a multi-factor model. We use expected and unexpected losses as indicators of credit risk stemming from the...
Persistent link: https://www.econbiz.de/10012946809
a decrease in bank equity risk. We show theoretically, that keeping less capital in excess of the minimum capital … capitalization is a significant determinant of equity risk, and can explain why bank equity risk has not become lower after the Great …, reduced the cost of bank debt …
Persistent link: https://www.econbiz.de/10014257891
We propose a new method for analysing multi-period stress scenarios for portfolio credit risk more systematically than in the current practice of macro stress testing. Our method quantifies the plausibility of scenarios by considering the distance of the stress scenario from an average scenario....
Persistent link: https://www.econbiz.de/10013142061
This study examines the sources of credit risk associated with asset securitizations and whether credit rating agencies and the bond market differ in their assessment of this risk. Measuring credit risk using credit ratings, we find the securitizing firm's credit risk is positively related to...
Persistent link: https://www.econbiz.de/10013092802
find an inverse relationship between a supplier's sales dependence on a customer and trade credit. Evidence points to bank … relationship, and are stronger with more intense bank monitoring …
Persistent link: https://www.econbiz.de/10012851548
Purpose – Logistic service providers (LSPs) are increasingly required to take over the ownership of network-specific inventories and to finance related working capital. The paper examines the nature of associated uncertainties, especially behavioural risks and illustrates the mechanisms of the...
Persistent link: https://www.econbiz.de/10013073143
Evidence shows that social network structures drive important economic outcomes. Building on social network theory, this study is the first to analyse the impact of team networks on venture success. Using information about team affiliations for a sample of token-financed startups, we model...
Persistent link: https://www.econbiz.de/10014348850
Persistent link: https://www.econbiz.de/10010485056