[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
“Forward Looking Banking Stress in EMU Countries”. (2014). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Singh, Manish K. ; Gomez-Puig, Marta.
In: IREA Working Papers.
RePEc:ira:wpaper:201421.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 37

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. “Sovereigns and banks in the euro area: a tale of two crises”. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Singh, Manish K.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201504.

    Full description at Econpapers || Download paper

  2. Sovereigns and banks in the euro area: A tale of two crises. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Singh, Manish K..
    In: Working Papers.
    RePEc:aee:wpaper:1501.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Agarwal, V. and Taffler, R. Comparing the performance of market based and accounting based bankruptcy prediction models. Journal of Banking and Finance, 32, 2008.

  2. Altman, E. and Katz, S. Statistical bond rating classification using financial and accounting data. M. Schiff and G. Sorter (eds) Topical Research in Accounting, NYU press, 1976.
    Paper not yet in RePEc: Add citation now

  3. Altman, E. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of Finance, 23:589–609, 1968.

  4. Bartholomew, P. and Whalen, G. Fundamentals of systemic risk. Research in Financial Services: Banking, Financial Markets, and Systemic Risk, 7: 3–17, 2005.
    Paper not yet in RePEc: Add citation now

  5. Bharath, S. T. and Shumway, T. Forecasting default with the Merton distance to default model. Review of Financial Studies, 21:1339–1369, 2008. Black, F. and Scholes, M. The pricing of options and corporate liabilities.

  6. Blume, M.; Lim, F., and Mackinlay, A. The declining credit quality of U.S. corporate debt: Myth or reality? Journal of Finance, 53(4):1389–1413, 1998.

  7. Campbell, J.; Hilscher, J., and Szilagyi, J. In search of distress risk. Journal of Finance, pages 2899–2939, 2008.

  8. Campbell, J.; Hilscher, J., and Szilagyi, J. Predicting financial distress and the performance of distressed stocks. Journal of Investment Management, 9(2):1–21, 2011.

  9. Chan, N. M.; Getmansky, M.; Haas, S. M., and Lo, A. W. Systemic risk and hedge funds. In: Carey, M., Stulz, R.M. (Eds.), The Risks of Financial Institutions. University of Chicago Press, Chicago/London, pages 235– 238, 2006.
    Paper not yet in RePEc: Add citation now

  10. Chava, S. and Jarrow, R. Bankruptcy prediction with industry effects. Review of Finance, 8:537–539, 2004.

  11. Crosbie, P. J. and Bohn, J. R. Modeling default risk. Moody’s KMV, 2003.
    Paper not yet in RePEc: Add citation now

  12. De Bandt, O. and Hartmann, P. Systemic risk: a survey. ECB Working Paper No.35, 2000.

  13. De Nicolo, G. and Kwast, M. Systemic risk and financial consolidation: are they related? Journal of Banking and Finance, 26:861–880, 2002. __________________________________________________________________________________ Research Institute of Applied Economics Working Paper 2014/21 29/32 Regional Quantitative Analysis Research Group Working Paper 2014/21 29/32 __________________________________________________________________________________ Duggar, E. and Mitra, S. External linkages and contagion risk in irish banks.

  14. Goldstein, M. International financial markets and systemic risk. Institute of International Economics Mimeo, Washington, DC, 1995.
    Paper not yet in RePEc: Add citation now
  15. Gray, D. and Jobst, A. Lessons from the financial crisis on modeling systemic risk and sovereign risk. In: Berd, Arthur (Eds.), Lessons from the Financial Crisis. RISK Books, London, 2010.
    Paper not yet in RePEc: Add citation now

  16. Gray, D. and Jobst, A. Systemic contingent claims analysis: Estimating market-implied systemic risk. IMF Working Papers 13/54, International Monetary Fund, Washington, 2013.

  17. Gray, D. and Malone, S. Macrofinancial risk analysis. John Wiley and Sons, Chichester, West Sussex, England, 2008.
    Paper not yet in RePEc: Add citation now
  18. Gray, D.; Jobst, A., and Malone, S. Quantifying systemic risk and reconceptualizing the role of finance for economic growth. Journal of Investment Management, 8 (2)(90-110), 2010.
    Paper not yet in RePEc: Add citation now

  19. Gray, D.; Merton, R., and Bodie, Z. New framework for measuring and managing macrofinancial risk and financial stability. Working Paper 13607, National Bureau of Economic Research, 2007.

  20. Gropp, R.; Vesala, J., and Vulpers, G. Equity and bond market signals as leading indicators of bank fragility. Journal of Money, Credit and Banking, 38:399–428, 2006.

  21. Harada, K. and Ito, T. Did mergers help Japanese mega-banks avoid failure ? analysis of the distance to default of banks. Working Paper 14518, National Bureau of Economic Research, 2008.

  22. Harada, K.; Ito, T., and Takahashi, S. Is the distance to default a good measure in predicting bank failures? case studies. Working Paper 16182, National Bureau of Economic Research., 2010.

  23. Hillegeist, S. A.; Keating, E.; Cram, D. P., and Lunstedt, K. G. Assessing the probability of bankruptcy. Review of Accounting Studies, 9:5–34, 2004.
    Paper not yet in RePEc: Add citation now
  24. IMF Working Papers 07/44, International Monetary Fund, Washington, 2007. Gapen, M. T.; Gray, D. F.; Lim, C. H., and Xiao, Y. Measuring and analyzing sovereign risk with contingent claims. IMF Working Paper No.
    Paper not yet in RePEc: Add citation now
  25. Jorion, P. Bank trading risk and systemic risk. In: The Risks of Financial Institutions. NBER, 2006.
    Paper not yet in RePEc: Add citation now

  26. Kambhu, J.; Weidman, S., and Krishnan, N. New directions for understanding systemic risk. National Academies Press, 2007. __________________________________________________________________________________ Research Institute of Applied Economics Working Paper 2014/21 30/32 Regional Quantitative Analysis Research Group Working Paper 2014/21 30/32 __________________________________________________________________________________ Kaplan, R. and Urwitz, G. Statistical models of bond ratings: A methodological inquiry. Journal of Business, 52:231–261, 1979.

  27. Kaufman, G. G. Comment on systemic risk. Research in Financial Services: Banking, Financial Markets, and Systemic Risk, 7:47–52, 1995.
    Paper not yet in RePEc: Add citation now
  28. Kealhofer, S. Quantifying credit risk I: Default prediction. Financial Analyst Journal, 2003.
    Paper not yet in RePEc: Add citation now

  29. Merton, R. C. On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance, 29:449–470, 1974.

  30. Oderda, G.; Dacorogna, M., and Jung, T. Credit risk models: do they deliver their promisies? a quantitative assessment. Review of Banking, Finance and Monetary Economics, 32:177–195, 2003. Ohlson, J. A. Financial ratios and the probabilistic prediction of bankruptcy.

  31. Rochet, J. C. and Tirole, J. Interbank lending and systemic risk. Journal of Money, Credit and Banking, 28:733–762, 1996.

  32. Saldias, M. Systemic risk analysis using forward-looking distance-to-default series. Journal of Financial Stability, 9:498–517, 2013.

  33. Shumway, T. Forecasting bankruptcy more accurately: A simple hazard model. Journal of Business, 74:101–124, 2001.

  34. Susan, T.; Singh, M. K., and Aggarwal, N. Do changes in distance-to-default anticipate changes in the credit rating? Working paper, Finance Research Group, 2012.

  35. Vasicek, O. Credit valuation. KMV Corporation, 1984.
    Paper not yet in RePEc: Add citation now

  36. Vassalou, M. and Yuhang, X. Default risk in equity returns. Journal of Finance, 59:831–868, 2004.

  37. Zmijewski, M. E. Methodological issues related to the estimation of financial distress prediction models. Journal of Accounting Research, 22, 1984. __________________________________________________________________________________ Research Institute of Applied Economics Working Paper 2014/21 31/32 Regional Quantitative Analysis Research Group Working Paper 2014/21 31/32 __________________________________________________________________________________ Institut de Recerca en Economia Aplicada Regional i Pública Document de Treball 2014/17, pàg. 5 Research Institute of Applied Economics Working Paper 2014/17, pag.

Cocites

Documents in RePEc which have cited the same bibliography

  1. “Incorporating creditors seniority into contingent claim models:Application to peripheral euro area countries”. (2018). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Singh, Manish K ; Gomez-Puig, Marta.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201803.

    Full description at Econpapers || Download paper

  2. Prediction of company failure: Past, present and promising directions for the future. (2018). Jayasekera, Ranadeva .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:55:y:2018:i:c:p:196-208.

    Full description at Econpapers || Download paper

  3. Default prediction models: The role of forward-looking measures of returns and volatility. (2018). Miao, Hong ; Wang, Tianyang ; Ryan, Patricia ; Ramchander, Sanjay.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:46:y:2018:i:c:p:146-162.

    Full description at Econpapers || Download paper

  4. Board Composition and Financial Distress of Listed Firms in Kenya. An Empirical Analysis. (2017). Ombaba, Kennedy ; Kosgei, David ; Mwengei, Kennedy .
    In: Journal of Finance and Investment Analysis.
    RePEc:spt:fininv:v:6:y:2017:i:4:f:6_4_4.

    Full description at Econpapers || Download paper

  5. Capital Investment Decisions of Micro, Small and Medium Enterprises: The Case of Digos City. (2017). Relativo, Jona Princess ; Murcia, John Vianne ; Diasana, Sarah Jean ; Sumayang, Mildred .
    In: MPRA Paper.
    RePEc:pra:mprapa:79574.

    Full description at Econpapers || Download paper

  6. Financial Bankruptcy across European Countries. (2017). Succurro, Marianna .
    In: International Journal of Economics and Finance.
    RePEc:ibn:ijefaa:v:9:y:2017:i:7:p:132-146.

    Full description at Econpapers || Download paper

  7. Forewarning Bankruptcy: An Indigenous Model for Pakistan. (2017). Hunjra, Ahmed ; Azam, Rauf i ; Ijaz, Muhammad Shahzad .
    In: Business & Economic Review.
    RePEc:bec:imsber:v:9:y:2017:i:4:p:259-286.

    Full description at Econpapers || Download paper

  8. Financial Distress, Employees’ Welfare and Entrepreneurship Among SMEs. (2016). Inekwe, John.
    In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement.
    RePEc:spr:soinre:v:129:y:2016:i:3:d:10.1007_s11205-015-1164-6.

    Full description at Econpapers || Download paper

  9. Re-estimation and comparisons of alternative accounting based bankruptcy prediction models for Indian companies. (2016). Singh, Bhanu ; Mishra, Alok.
    In: Financial Innovation.
    RePEc:spr:fininn:v:2:y:2016:i:1:d:10.1186_s40854-016-0026-9.

    Full description at Econpapers || Download paper

  10. On the prediction of financial distress in developed and emerging markets: Does the choice of accounting and market information matter? A comparison of UK and Indian Firms. (2016). Charalambakis, Evangelos ; Garrett, Ian.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:47:y:2016:i:1:d:10.1007_s11156-014-0492-y.

    Full description at Econpapers || Download paper

  11. An Empirical Analysis of Financially Distressed Italian Companies. (2016). Sensini, Luca .
    In: International Business Research.
    RePEc:ibn:ibrjnl:v:9:y:2016:i:10:p:75-85.

    Full description at Econpapers || Download paper

  12. Predicting Operational Loss Exposure Using Past Losses. (2016). Migueis, Marco ; Curti, Filippo.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2016-02.

    Full description at Econpapers || Download paper

  13. Validation of default probability models: A stress testing approach. (2016). Arismendi Zambrano, Juan ; Tsukahara, Fabio Yasuhiro ; Sobreiro, Vinicius Amorim ; Kimura, Herbert.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:47:y:2016:i:c:p:70-85.

    Full description at Econpapers || Download paper

  14. Using Merton model for default prediction: An empirical assessment of selected alternatives. (2016). Galil, Koresh ; Afik, Zvika ; Arad, Ohad .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:35:y:2016:i:c:p:43-67.

    Full description at Econpapers || Download paper

  15. MEASURING FINANCIAL DISTRESS AND PREDICTING CORPORATE BANKRUPTCY: AN INDEX APPROACH. (2016). Liao, Qunfeng ; Mehdian, Seyed.
    In: Review of Economic and Business Studies.
    RePEc:aic:revebs:y:2016:j:17:liaoq.

    Full description at Econpapers || Download paper

  16. Predicting probability of default of Indian companies: A market based approach. (2016). Mishra, Alok Kumar ; Singh, Bhanu Pratap .
    In: Theoretical and Applied Economics.
    RePEc:agr:journl:v:xxiii:y:2016:i:3(608):p:197-204.

    Full description at Econpapers || Download paper

  17. Predicting probability of default of Indian companies: A market based approach. (2016). Mishra, Alok Kumar ; Singh, Bhanu Pratap .
    In: Theoretical and Applied Economics.
    RePEc:agr:journl:v:3(608):y:2016:i:3(608):p:197-204.

    Full description at Econpapers || Download paper

  18. “Bank risk behavior and connectedness in EMU countries”. (2015). Sosvilla-Rivero, Simon ; Singh, Manish Kumar ; Gómez-Puig, Marta ; Gomez-Puig, Marta.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201517.

    Full description at Econpapers || Download paper

  19. Accounting data and the credit spread: An empirical investigation. (2015). Demirovic, Amer ; Guermat, Cherif ; Tucker, Jon.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:34:y:2015:i:c:p:233-250.

    Full description at Econpapers || Download paper

  20. Financial sustainability of wind electricity sectors in the Baltic States. (2015). Bobinaite, Viktorija .
    In: Renewable and Sustainable Energy Reviews.
    RePEc:eee:rensus:v:47:y:2015:i:c:p:794-815.

    Full description at Econpapers || Download paper

  21. Comparative credit risk in Islamic and conventional bank. (2015). Worthington, Andrew ; Gupta, Rakesh ; Nurul, MD.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:34:y:2015:i:c:p:327-353.

    Full description at Econpapers || Download paper

  22. Bank risk behavior and connectedness in EMU countries. (2015). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gomez-Puig, Marta ; Singh, Manish K.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:57:y:2015:i:c:p:161-184.

    Full description at Econpapers || Download paper

  23. Combining accounting data and a structural model for predicting credit ratings: Empirical evidence from European listed firms. (2015). Zopounidis, Constantin ; Doumpos, Michael ; Andriosopoulos, Kostas ; Niklis, Dimitrios .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:50:y:2015:i:c:p:599-607.

    Full description at Econpapers || Download paper

  24. Performance evaluation of bankruptcy prediction models: An orientation-free super-efficiency DEA-based framework. (2015). Xu, Bing ; Mousavi, Mohammad M ; Ouenniche, Jamal.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:42:y:2015:i:c:p:64-75.

    Full description at Econpapers || Download paper

  25. “Forward Looking Banking Stress in EMU Countries”. (2014). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Singh, Manish K. ; Gomez-Puig, Marta.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201421.

    Full description at Econpapers || Download paper

  26. Predicting distress in European banks. (2014). Sarlin, Peter ; Peltonen, Tuomas ; Betz, Frank ; Opric, Silviu .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:45:y:2014:i:c:p:225-241.

    Full description at Econpapers || Download paper

  27. Are hazard models superior to traditional bankruptcy prediction approaches? A comprehensive test. (2014). Bauer, Julian ; Agarwal, Vineet .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:40:y:2014:i:c:p:432-442.

    Full description at Econpapers || Download paper

  28. Bank competition and financial stability in Asia Pacific. (2014). Molyneux, Philip ; Lin, Yongjia ; Fu, Xiaoqing.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:38:y:2014:i:c:p:64-77.

    Full description at Econpapers || Download paper

  29. Default risk and equity prices in the U.S. banking sector: Regime switching effects of regulatory changes. (2014). Kanas, Angelos.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:33:y:2014:i:c:p:244-258.

    Full description at Econpapers || Download paper

  30. The characteristics of changes in construction companies to become insolvent by size following macroeconomic fluctuations. (2013). Kim, Jaejun ; Kwon, Taein ; Lee, Sanghyo.
    In: E3 Journal of Business Management and Economics..
    RePEc:etr:series:v:4:y:2013:i:4:p:082-092.

    Full description at Econpapers || Download paper

  31. Alternative bankruptcy prediction models using option-pricing theory. (2013). Charitou, Andreas ; Lambertides, Neophytos ; Trigeorgis, Lenos ; Dionysiou, Dionysia.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:7:p:2329-2341.

    Full description at Econpapers || Download paper

  32. Product market competition and credit risk. (2013). Lee, Han-Hsing ; Huang, Hsing-Hua .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:324-340.

    Full description at Econpapers || Download paper

  33. The impact of diverse measures of default risk on UK stock returns. (2013). Chen, Jie ; Hill, Paula.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:5118-5131.

    Full description at Econpapers || Download paper

  34. Is the Distance to Default a good measure in predicting bank failures? A case study of Japanese major banks. (2013). Takahashi, Shuhei ; Ito, Takatoshi ; Harada, Kimie .
    In: Japan and the World Economy.
    RePEc:eee:japwor:v:27:y:2013:i:c:p:70-82.

    Full description at Econpapers || Download paper

  35. Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables. (2013). Tinoco, Mario Hernandez ; Wilson, Nick.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:30:y:2013:i:c:p:394-419.

    Full description at Econpapers || Download paper

  36. Predicting distress in European banks. (2013). Sarlin, Peter ; Peltonen, Tuomas ; Betz, Frank ; Oprica, Silviu .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131597.

    Full description at Econpapers || Download paper

  37. On the prediction of corporate financial distress in the light of the financial crisis: empirical evidence from Greek listed firms. (2013). Charalambakis, Evangelos.
    In: Working Papers.
    RePEc:bog:wpaper:164.

    Full description at Econpapers || Download paper

  38. Examining what best explains corporate credit risk: accounting-based versus market-based models. (2012). Trujillo-Ponce, Antonio ; Samaniego-Medina, Reyes ; Cardone-Riportella, Clara .
    In: Working Papers.
    RePEc:pab:wpbsad:12.07.

    Full description at Econpapers || Download paper

  39. Examining what best explains corporate credit risk: accounting-based versus market-based models. (2012). Trujillo-Ponce, Antonio ; Samaniego-Medina, Reyes ; Cardone-Riportella, Clara .
    In: Working Papers.
    RePEc:pab:fiecac:12.03.

    Full description at Econpapers || Download paper

  40. Multi-period credit default prediction with time-varying covariates.. (2011). Orth, Walter .
    In: MPRA Paper.
    RePEc:pra:mprapa:30507.

    Full description at Econpapers || Download paper

  41. Assessing bankruptcy prediction models via information content of technical inefficiency. (2011). Hwang, Ruey-Ching ; Siao, Jhao-Siang ; Chung, Huimin.
    In: Journal of Productivity Analysis.
    RePEc:kap:jproda:v:36:y:2011:i:3:p:263-273.

    Full description at Econpapers || Download paper

  42. The predictive ability of “conservatism” and “governance” variables in corporate financial disclosures. (2011). Smith, Malcolm ; Ren, Yun ; Dong, Yinan .
    In: Asian Review of Accounting.
    RePEc:eme:arapps:v:19:y:2011:i:2:p:171-185.

    Full description at Econpapers || Download paper

  43. The term structure of banking crisis risk in the United States: A market data based compound option approach. (2011). Eichler, Stefan ; Karmann, Alexander ; Maltritz, Dominik .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:4:p:876-885.

    Full description at Econpapers || Download paper

  44. Dynamic analysis of the business failure process: A study of bankruptcy trajectories. (2010). du Jardin, Philippe ; Severin, Eric .
    In: MPRA Paper.
    RePEc:pra:mprapa:44379.

    Full description at Econpapers || Download paper

  45. Is hazard or probit more accurate in predicting financial distress? Evidence from U.S. bank failures. (2010). Cole, Rebel ; Wu, Qiongbing.
    In: MPRA Paper.
    RePEc:pra:mprapa:24688.

    Full description at Econpapers || Download paper

  46. A compound option approach to model the interrelation between banking crises and country defaults: The case of Hungary 2008. (2010). Maltritz, Dominik .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:12:p:3025-3036.

    Full description at Econpapers || Download paper

  47. Is the diversification discount caused by the book value bias of debt?. (2010). Glaser, Markus ; Muller, Sebastian.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:10:p:2307-2317.

    Full description at Econpapers || Download paper

  48. A hybrid bankruptcy prediction model with dynamic loadings on accounting-ratio-based and market-based information: A binary quantile regression approach. (2010). Li, Ming-Yuan Leon ; Miu, Peter .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:4:p:818-833.

    Full description at Econpapers || Download paper

  49. Bankruptcy prediction models: How to choose the most relevant variables?. (2009). du Jardin, Philippe.
    In: MPRA Paper.
    RePEc:pra:mprapa:44380.

    Full description at Econpapers || Download paper

  50. Accounting-based versus market-based cross-sectional models of CDS spreads. (2009). Sarin, Atulya ; Das, Sanjiv ; Hanouna, Paul.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:4:p:719-730.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-24 07:49:50 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.