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...

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

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

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...