The main objective of this study is to analyze the type of relationship that exists between liquidity risk - measured with the liquidity coverage ratio and the net stable funding ratio - and the probability of default. The sample is composed of 575 listed and non-listed Eurozone banks and the methodology applied in the analysis is OLS regression based on panel data.
The relationship between liquidity risk and probability of default: evidence from the Euro area / Cucinelli, Doriana. - In: RISK GOVERNANCE & CONTROL: FINANCIAL MARKETS & INSTITUTIONS. - ISSN 2077-429X. - 3:1(2013), pp. 42-50.
The relationship between liquidity risk and probability of default: evidence from the Euro area
CUCINELLI, DORIANA
2013-01-01
Abstract
The main objective of this study is to analyze the type of relationship that exists between liquidity risk - measured with the liquidity coverage ratio and the net stable funding ratio - and the probability of default. The sample is composed of 575 listed and non-listed Eurozone banks and the methodology applied in the analysis is OLS regression based on panel data.File in questo prodotto:
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