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 …
ratios, as defined in Basel III, on banks' probability of failure. To include all relevant episodes …
Predicting distress in European banks
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 …
in European banks using both bank and country-level data. As outright bank failures have …
How to evaluate an early-warning system: Toward a unified statistical framework for assessing financial crises forecasting methods
This paper proposes an original and unified toolbox to evaluate financial crisis early-
warning systems (EWS). It presents four main advantages. First, it is a model free method …
warning systems (EWS). It presents four main advantages. First, it is a model free method …
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 …
warning systems (EWSs) that incorporate policymakers' preferences between issuing false …
Currency crisis early warning systems: Why they should be dynamic
Abstract Traditionally, financial crisis Early Warning Systems (EWSs) have relied on
macroeconomic leading indicators when forecasting the occurrence of such events. This …
macroeconomic leading indicators when forecasting the occurrence of such events. This …
Predicting sovereign debt crises: An early warning system approach
In light of the renewed challenge to construct effective “Early Warning Systems” for
sovereign debt crises, we empirically evaluate the predictive power of econometric models …
sovereign debt crises, we empirically evaluate the predictive power of econometric models …
Fitting and forecasting sovereign defaults using multiple risk signals
In this article, we try to realize the best compromise between in‐sample goodness of fit and
out‐of‐sample predictability of sovereign defaults. To do this, we use a new regression‐tree …
out‐of‐sample predictability of sovereign defaults. To do this, we use a new regression‐tree …
A cautious note on the use of panel models to predict financial crises
J Van den Berg, B Candelon, JP Urbain - Economics Letters, 2008 - Elsevier
A cautious note on the use of panel models to predict financial crises - ScienceDirect Skip to main
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Interconnectedness of the banking sector as a vulnerability to crises
This paper uses macro‐network to measure the interconnectedness of the banking sector
and relates it to banking crises in Europe. Beyond cross‐border financial linkages of the …
and relates it to banking crises in Europe. Beyond cross‐border financial linkages of the …
Evaluating financial performance of insurance companies using rating transition matrices
Financial performance of insurance companies is captured by changes in rating grades. An
insurer is susceptible to a rating transition which is a signal depicting current financial …
insurer is susceptible to a rating transition which is a signal depicting current financial …