Search Results for Distance to Default

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We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral...

This paper examines the association between the default risk of foreign bank subsidiaries in...

In contrast to corporate defaults, regulators typically take a number of statutory actions to...

The large and growing international linkages of big Irish banks expose them to idiosyncratic...

We implement a three-step procedure to assess the extent of exposure to real estate in commercial...

In this paper, we use the extreme value theory (EVT) framework to analyze contagion risk across...