Capital and liquidity ratios and financial distress. Evidence from the European banking industry

L Chiaramonte, B Casu - The British Accounting Review, 2017 - Elsevier
Using a large bank-level dataset, we test the relevance of both structural liquidity and capital
ratios, as defined in Basel III, on banks' probability of failure. To include all relevant episodes …

Predicting distress in European banks

F Betz, S Oprică, TA Peltonen, P Sarlin - Journal of Banking & Finance, 2014 - Elsevier
The paper develops an early-warning model for predicting vulnerabilities leading to distress
in European banks using both bank and country-level data. As outright bank failures have …

Assessing systemic risks and predicting systemic events

ML Duca, TA Peltonen - Journal of Banking & Finance, 2013 - Elsevier
The paper develops a framework for assessing systemic risks and for predicting systemic
events, ie periods of extreme financial instability with potential real costs. It contributes to the …

Toward robust early-warning models: A horse race, ensembles and model uncertainty

M Holopainen, P Sarlin - Quantitative Finance, 2017 - Taylor & Francis
This paper presents first steps towards robust models for crisis prediction. We conduct a
horse race of conventional statistical methods and more recent machine learning methods …

Random survival forests models for SME credit risk measurement

D Fantazzini, S Figini - Methodology and computing in applied probability, 2009 - Springer
This paper extends the existing literature on empirical research in the field of credit risk
default for Small Medium Enterprizes (SMEs). We propose a non-parametric approach …

Asset Price Misalignments and the Role of Money and Credit*

D Gerdesmeier, HE Reimers, B Roffia - International Finance, 2010 - Wiley Online Library
This paper contributes to the analysis on the properties of money and credit indicators for
detecting asset price misalignments. After a literature review, the paper discusses several …

Predicting financial crises with machine learning methods

L Liu, C Chen, B Wang - Journal of Forecasting, 2022 - Wiley Online Library
Countries must establish an effective early warning system to predict financial crises in order
to avoid their catastrophic effects. To this end, we construct early warning systems based on …

On policymakers' loss functions and the evaluation of early warning systems

P Sarlin - Economics Letters, 2013 - Elsevier
This paper introduces a new loss function and Usefulness measure for evaluating early
warning systems (EWSs) that incorporate policymakers' preferences between issuing false …

The leverage ratio, risk-taking and bank stability

J Acosta-Smith, M Grill, JH Lang - Journal of Financial Stability, 2020 - Elsevier
This paper analyses the trade-off between additional loss-absorbing capacity and potentially
higher bank risk-taking associated with the introduction of the Basel III Leverage Ratio. This …

Mapping the state of financial stability

P Sarlin, TA Peltonen - … of International Financial Markets, Institutions and …, 2013 - Elsevier
The aim of this paper is to introduce modern mapping techniques to the finance community.
Mapping techniques provide means for representing high-dimensional data on low …