An MVAR framework to capture extreme events in macro-prudential stress tests,
Paolo Guarda, Abdelaziz Rouabah and John Theal,
from European Central Bank
(2012)
Keywords: counterparty risk, Luxembourg banking sector, MVAR, stress testing, tier 1 capital ratio
Value-at-Risk stressée chaotique d’un portefeuille bancaire,
Rachida Hennani and Michel Terraza,
from LAMETA, Universtiy of Montpellier
(2012)
Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008,
Bernd Schwaab, Siem Jan Koopman and Andre Lucas,
from European Central Bank
(2012)
Keywords: credit portfolio models, Default risk, financial crisis, frailty-correlated defaults, state space methods
Systematic Risk, Debt Maturity, and the Term Structure of Credit Spreads,
Hui Chen, Yu Xu and Jun Yang,
from National Bureau of Economic Research, Inc
(2012)
Moral hazard, dividends, and risk in banks,
Enrico Onali,
from Bangor Business School, Prifysgol Bangor University (Cymru / Wales)
(2012)
Keywords: dividend, bank risk, moral hazard
Does monetary policy affect bank risk?,
Yener Altunbas, Leonardo Gambacorta and David Marques-Ibanez,
from Bangor Business School, Prifysgol Bangor University (Cymru / Wales)
(2012)
Keywords: bank risk, monetary policy, credit crisis.
Bank Risk during the Financial Crisis: Do business models matter?,
Yener Altunbas, Simone Manganelli and David Marques-Ibanez,
from Bangor Business School, Prifysgol Bangor University (Cymru / Wales)
(2012)
Keywords: bank risk, business models, bank regulation, financial crisis, Basle III
Executive Board Composition and Bank Risk Taking,
Allen N. Berger, Thomas Kick and Klaus Schaeck,
from Bangor Business School, Prifysgol Bangor University (Cymru / Wales)
(2012)
Keywords: Banks, executives, risk taking, age, gender, education
Sovereign Defaults and Banking Crises,
Cesar Sosa-Padilla,
from University Library of Munich, Germany
(2012)
Keywords: Sovereign Default; Banking Crisis; Credit Crunch; Optimal Fiscal Policy; Markov Perfect Equilibrium; Endogenous Cost of Default; Domestic Debt