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Asset-Quality-At-Risk

https://doi.org/10.2139/ssrn.5153339
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Forecasting and stress testing with quantile vector autoregression
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Bank Liability Structure, FDIC Loss, and Time to Failure: A Quantile Regression Approach
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Key Determinants of Non-performing Loans: New Evidence from a Global Sample
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Debt and Private Investment: Does the EU Suffer from a Debt Overhang?
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Macroeconomic determinants of the credit risk in the banking system: The case of the GIPSI
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How much do non-performing loans hinder loan growth in Europe?
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Stress-testing US bank holding companies: A dynamic panel quantile regression approach
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Is bank portfolio riskiness procyclical?
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Risk, capital and efficiency in Chinese banking
inferredcites →https://doi.org/10.1016/j.intfin.2016.12.003openalex-snapshot
Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach
inferredcites →https://doi.org/10.1016/j.intfin.2017.12.006openalex-snapshot
Macro stress testing the U.S. banking system
inferredcites →https://doi.org/10.1016/j.jbankfin.2011.10.012openalex-snapshot
Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios
inferredcites →https://doi.org/10.1016/j.jeconbus.2017.06.002openalex-snapshot
Sector-specific analysis of non-performing loans in the US banking system and their macroeconomic impact
inferredcites →https://doi.org/10.1016/j.jeconom.2019.04.009openalex-snapshot
Quantiles via moments
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Macro stress testing of credit risk focused on the tails
inferredcites →https://doi.org/10.1016/j.jfs.2015.08.004openalex-snapshot
Banking-industry specific and regional economic determinants of non-performing loans: Evidence from US states
inferredcites →https://doi.org/10.1016/j.ribaf.2014.06.001openalex-snapshot
Credit risk determinants: Evidence from a cross-country study
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Problem loans and cost efficiency in commercial banks
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Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks
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Economies of scale in Norwegian electricity distribution: a quantile regression approach
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Banks’ riskiness over the business cycle: a panel analysis on Italian intermediaries
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Restoring credit market stability conditions in Italy: evidences on Loan and Bad Loan dynamics
inferredcites →https://doi.org/10.1080/1351847x.2020.1794923openalex-snapshot
Benchmarking non-performing loans
inferredcites →https://doi.org/10.1080/1351847x.2021.1946117openalex-snapshot
The impact of efficiency on asset quality in banking
inferredcites →https://doi.org/10.1080/15140326.2022.2094668openalex-snapshot
Do non-performing loans matter for bank lending and the business cycle in euro area countries?
inferredcites →https://doi.org/10.1111/1467-9868.00391openalex-snapshot
Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
inferredcites →https://doi.org/10.1111/j.1468-0084.2008.00542.xopenalex-snapshot
A Note on the Theme of Too Many Instruments *
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Vulnerable Growth
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The COVID-19 crisis and banking system resilience
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Nonperforming Loans in the GCC Banking System and Their Macroeconomic Effects
inferredcites →https://doi.org/10.2139/ssrn.1849872openalex-snapshot
Macroeconomic Determinants of Bad Loans: Evidence from Italian Banks
inferredcites →https://doi.org/10.2139/ssrn.1888904openalex-snapshot
Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies
inferredcites →https://doi.org/10.2139/ssrn.2247224openalex-snapshot
Non-Performing Loans in CESEE: Determinants and Impact on Macroeconomic Performance
inferredcites →https://doi.org/10.2139/ssrn.2882570openalex-snapshot
Cleaning-Up Bank Balance Sheets: Economic, Legal, and Supervisory Measures for Italy
inferredcites →https://doi.org/10.2139/ssrn.2954995openalex-snapshot
Non-Performing Loans and the Supply of Bank Credit: Evidence from Italy
inferredcites →https://doi.org/10.2139/ssrn.3489065openalex-snapshot
Forecasting and Stress Testing with Quantile Vector Autoregression
inferredcites →https://doi.org/10.2139/ssrn.3601770openalex-snapshot
Do Non-Performing Loans Matter for Bank Lending and the Business Cycle in Euro Area Countries?
inferredcites →https://doi.org/10.2139/ssrn.3797145openalex-snapshot
Stress-Testing Net Trading Income: The Case of European Banks
inferredcites →https://doi.org/10.2298/pan1402193mopenalex-snapshot
Determinants of non-performing loans: The case of Eurozone
inferredcites →https://doi.org/10.23656/25045520/102017/0149openalex-snapshot
Forecasting models for non-performing loans in the EU countries
inferredcites →https://doi.org/10.5089/9781455208890.001openalex-snapshot
Nonperforming Loans in the GCC Banking System and their Macroeconomic Effects
inferredcites →https://doi.org/10.5089/9781455297740.001openalex-snapshot
Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies
inferredcites →https://doi.org/10.5089/9781484318522.001openalex-snapshot
Non-Performing Loans in CESEE
inferredcites →https://doi.org/10.5089/9781484397015.001openalex-snapshot
Growth at Risk: Concept and Application in IMF Country Surveillance
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A Strategy for Resolving Europe's Problem Loans
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