This study investigates the role of credit risk factors in predicting European bank failures in light of the recent financial (banking) crisis. Using data from 90 European Union (EU) banks in 21 countries (including 9 banks that failed the 2011 stress tests undertaken by the European Banking Authority), we employ a random effects probit model to analyze the relative impact of credit risk determinants and macroeconomic factors in predicting bank failure. The empirical analysis provides new insights that support the impact of credit risk and macroeconomic factors in the prediction of bank failure. Given that systematic risk associated with the banking system can impact both financial and real sectors, this empirical work offers insights for fundamental-based monitoring of banking institutions.
VaR is central to financial risk management. In this study we use three methods to calculate VaR, namely the industry standard RiskMetri...
The Banking and Finance Review (BFR) is a bi-annual, peer-reviewed international research journal that provides a publication outlet for...
With a comprehensive dataset of 58 countries over the period 1987-2010, this paper investigates the effect of IPO on bank performance, m...
Herein we explore merger/risk arbitrage performance for hostile/unsolicited offers. We find that, regardless of merger outcome, the pos...
This study investigates the role of credit risk factors in predicting European bank failures in light of the recent financial (banking) ...