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Mario Quagliariello

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Giuseppe De Martino & Massimo Libertucci & Mario Marangoni & Mario Quagliariello, 2010. "Countercyclical contingent capital (CCC): possible use and ideal design," Questioni di Economia e Finanza (Occasional Papers) 71, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Burnecki, Krzysztof & Giuricich, Mario Nicoló & Palmowski, Zbigniew, 2019. "Valuation of contingent convertible catastrophe bonds — The case for equity conversion," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 238-254.
    2. Barucci, Emilio & Del Viva, Luca, 2012. "Countercyclical contingent capital," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1688-1709.
    3. Philippe Oster, 2020. "Contingent Convertible bond literature review: making everything and nothing possible?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 343-381, December.
    4. Alessandro Giustiniani & John Thornton, 2011. "Post‐crisis financial reform: where do we stand?," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 19(4), pages 323-336, November.
    5. Li Ping & Liu Jie, 2014. "Design and Pricing of Chinese Contingent Convertible Bonds," Journal of Systems Science and Information, De Gruyter, vol. 2(5), pages 428-436, October.

  2. Alessio De Vincenzo & Maria Alessandra Freni & Andrea Generale & Sergio Nicoletti Altimari & Mario Quagliariello, 2010. "Lessons learned from the financial crisis for financial stability and banking supervision," Questioni di Economia e Finanza (Occasional Papers) 76, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Meier, Samira & Rodriguez Gonzalez, Miguel & Kunze, Frederik, 2021. "The global financial crisis, the EMU sovereign debt crisis and international financial regulation: lessons from a systematic literature review," International Review of Law and Economics, Elsevier, vol. 65(C).
    2. Vedev, A., 2013. "Mega-Regulator for Russia as an Institutional Problem and an Intellectual Challenge," Journal of the New Economic Association, New Economic Association, vol. 19(3), pages 139-143.
    3. Lorenzo Esposito & Giuseppe Mastromatteo, 2020. "Profitti, rischi e capital ratios: come sviluppare una vigilanza prudenziale neutrale al risk-appetite delle banche (Profits, risk, and capital ratios: how to design a prudential supervision neutral w," Moneta e Credito, Economia civile, vol. 73(290), pages 141-154.

  3. Francesco Cannata & Massimo Libertucci & Francesco Piersante & Mario Quagliariello, 2010. "Regulatory impact assessment at the Bank of Italy," Questioni di Economia e Finanza (Occasional Papers) 78, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Elisabetta Gualandri & Enzo Mangone & Aldo Stanziale, 2011. "Internal Corporate Governance and the Financial Crisis: Lessons for Banks,Regulators and Supervisors," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0029, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".

  4. Paolo Angelini & Andrea Enria & Stefano Neri & Fabio Panetta & Mario Quagliariello, 2010. "Pro-cyclicality of capital regulation: is it a problem? How to fix it?," Questioni di Economia e Finanza (Occasional Papers) 74, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Angelini, P. & Clerc, L. & Cúrdia, V. & Gambacorta, L. & Gerali, A. & Locarno, A. & Motto, R. & Roeger, W. & Van den Heuvel, S. & Vlcek, J., 2011. "BASEL III: Long-term impact on economic performance and fluctuations," Working papers 323, Banque de France.
    2. Fajar Oktiyanto & Harmanta & Nur M. Adhi Purwanto & Aditya Rachmanto, 2014. "Monetary Macroprudential Policy Mix under Financial Frictions Mechanism with DSGE Model," EcoMod2014 6840, EcoMod.
    3. Rafael Repullo & Javier Suarez, 2012. "The Procyclical Effects of Bank Capital Regulation," Working Papers wp2012_1202, CEMFI.
    4. Katuala, Hénock M., 2021. "Frictions financières et Dynamique macroéconomique : Examen des régularités cycliques," Dynare Working Papers 66, CEPREMAP.
    5. Andrea Nobili & Francesco Zollino, 2012. "A structural model for the housing and credit markets in Italy," Temi di discussione (Economic working papers) 887, Bank of Italy, Economic Research and International Relations Area.
    6. David Martinez-Miera & Rafael Repullo, 2019. "Monetary Policy, Macroprudential Policy, and Financial Stability," Working Papers wp2019_1901, CEMFI.
    7. Karmakar, Sudipto, 2013. "Macroprudential Regulation and Macroeconomic Activity," MPRA Paper 52172, University Library of Munich, Germany.
    8. M. Falagiarda & A. Saia, 2013. "Credit, Endogenous Collateral and Risky Assets: A DSGE Model," Working Papers wp916, Dipartimento Scienze Economiche, Universita' di Bologna.
    9. Simona Malovana, 2018. "The Pro-Cyclicality of Risk Weights for Credit Exposures in the Czech Republic," Working Papers 2018/12, Czech National Bank.
    10. Michał Brzoza-Brzezina & Marcin Kolasa, 2012. "Bayesian evaluation of DSGE models with financial frictions," NBP Working Papers 109, Narodowy Bank Polski.
    11. Leonardo Nogueira Ferreira & Márcio Issao Nakane, 2018. "Macroprudential policy in a DSGE model: anchoring the countercyclical capital buffer," Economics Bulletin, AccessEcon, vol. 38(4), pages 2345-2352.
    12. Malgorzata Olszak, 2015. "The phenomenon of excessive procyclicality of the financial sector from the perspective of macroprudential policy – sources, methods of reduction and their basic limitations (Zjawisko nadmiernej procy," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 13(55), pages 72-96.
    13. Guangling Dave Liu & Nkhahle E. Seeiso, 2011. "Business Cycle and Bank Capital Regulation: Basel II Procyclicality," Working Papers 221, Economic Research Southern Africa.
    14. Paolo Angelini & Stefano Neri & Fabio Panetta, 2011. "Monetary and macroprudential policies," Temi di discussione (Economic working papers) 801, Bank of Italy, Economic Research and International Relations Area.
    15. Yaprak Tavman, 2015. "A comparative analysis of macroprudential policies," Oxford Economic Papers, Oxford University Press, vol. 67(2), pages 334-355.
    16. Brzoza-Brzezina, Michał & Kolasa, Marcin & Makarski, Krzysztof, 2013. "The anatomy of standard DSGE models with financial frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 32-51.
    17. Liu, Guangling (Dave) & Seeiso, Nkhahle E., 2012. "Basel II procyclicality: The case of South Africa," Economic Modelling, Elsevier, vol. 29(3), pages 848-857.
    18. Stijn Claessens, 2015. "An Overview of Macroprudential Policy Tools," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 397-422, December.
    19. Rainer Baule & Christian Tallau, 2016. "Revisiting Basel risk weights: cross-sectional risk sensitivity and cyclicality," Journal of Business Economics, Springer, vol. 86(8), pages 905-931, November.
    20. Torsten Wezel & Mr. Jorge A Chan-Lau & Mr. Francesco Columba, 2012. "Dynamic Loan Loss Provisioning: Simulationson Effectiveness and Guide to Implementation," IMF Working Papers 2012/110, International Monetary Fund.
    21. Liu, Guangling & Molise, Thabang, 2019. "Housing and credit market shocks: Exploring the role of rule-based Basel III counter-cyclical capital requirements," Economic Modelling, Elsevier, vol. 82(C), pages 264-279.
    22. Hodbod, Alexander & Huber, Stefanie J. & Vasilev, Konstantin, 2020. "Sectoral risk-weights and macroprudential policy," Journal of Banking & Finance, Elsevier, vol. 112(C).
    23. Guangling Liu & Thabang Molise, 2018. "Is Basel III counter-cyclical: The case of South Africa?," Working Papers 10/2018, Stellenbosch University, Department of Economics.

  5. Marco Burroni & Mario Quagliariello & Emiliano Sabatini & Vincenzo Tola, 2009. "Dynamic provisioning: rationale, functioning, and prudential treatment," Questioni di Economia e Finanza (Occasional Papers) 57, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Jiménez, G. & Ongena, S. & Peydro, J.L. & Saurina, J., 2012. "Macroprudential Policy, Countercyclical Bank Capital Buffers and Credit Supply : Evidence from the Spanish Dynamic Provisioning Experiments," Other publications TiSEM ea797f30-d12c-4450-8352-9, Tilburg University, School of Economics and Management.
    2. Ali Ashraf & M. Kabir Hassan & Kyle J. Putnam & Arja Turunen-Red, 2019. "Prudential Regulatory Regimes, Accounting Standards, And Earnings Management In The Banking Industry," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(3), pages 1-28, January.
    3. Rafael Repullo & Javier Suarez, 2012. "The Procyclical Effects of Bank Capital Regulation," Working Papers wp2012_1202, CEMFI.
    4. Małgorzata Olszak & Iwona Kowalska & Patrycja Chodnicka-Jaworska & Filip Świtała, 2020. "Do cyclicality of loan-loss provisions and income smoothing matter for the capital crunch – the case of commercial banks in Poland," Bank i Kredyt, Narodowy Bank Polski, vol. 51(4), pages 383-436.
    5. International Monetary Fund, 2011. "Chile: Selected Issues," IMF Staff Country Reports 2011/262, International Monetary Fund.
    6. Agénor, Pierre-Richard & Pereira da Silva, Luiz, 2017. "Cyclically adjusted provisions and financial stability," Journal of Financial Stability, Elsevier, vol. 28(C), pages 143-162.
    7. Cristina Bernini & Paola Brighi, 2011. "Relationship Lending, Distance and Efficiency in a Heterogeneous Banking System," Working Paper series 41_11, Rimini Centre for Economic Analysis.
    8. Mr. Jorge A Chan-Lau, 2012. "Do Dynamic Provisions Enhance Bank Solvency and Reduce Credit Procyclicality? a Study of the Chilean Banking System," IMF Working Papers 2012/124, International Monetary Fund.
    9. Fabiana Gómez & Jorge Ponce, 2015. "Regulation and Bankers' Incentives," Documentos de trabajo 2015005, Banco Central del Uruguay.
    10. Malgorzata Olszak, 2012. "Macroprudential policy - aim, instruments and institutional architecture (Polityka ostroznosciowa w ujêciu makro - cel, instrumenty i architektura instytucjonalna)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 10(39), pages 7-32.
    11. Mr. G. Terrier & Mr. Rodrigo O. Valdes & Mr. Camilo E Tovar Mora & Mr. Jorge A Chan-Lau & Carlos Fernandez Valdovinos & Ms. Mercedes Garcia-Escribano & Mr. Carlos I. Medeiros & Man-Keung Tang & Miss M, 2011. "Policy Instruments to Lean Against the Wind in Latin America," IMF Working Papers 2011/159, International Monetary Fund.
    12. Torsten Wezel & Mr. Jorge A Chan-Lau & Mr. Francesco Columba, 2012. "Dynamic Loan Loss Provisioning: Simulationson Effectiveness and Guide to Implementation," IMF Working Papers 2012/110, International Monetary Fund.
    13. Malgorzata Olszak & Patrycja Chodnicka-Jaworska & Iwona Kowalska & Filip Œwita³a, 2017. "The effect of capital ratio on lending: Do loan-loss provisioning practices matter?," Faculty of Management Working Paper Series 22017, University of Warsaw, Faculty of Management.

  6. Juri Marcucci & Mario Quagliariello, 2008. "Credit risk and business cycle over different regimes," Temi di discussione (Economic working papers) 670, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Grigori Fainstein & Igor Novikov, 2011. "The Comparative Analysis of Credit Risk Determinants In the Banking Sector of the Baltic States," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 20-45, June.
    2. Mihail Petkovski & Jordan Kjosevski & Kiril Jovanovski, 2018. "Empirical Panel Analysis of Non-performing Loans in the Czech Republic. What are their Determinants and How Strong is their Impact on the Real Economy?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(5), pages 460-490, October.
    3. Anastasiou, Dimitrios, 2017. "Is ex-post credit risk affected by the cycles? The case of Italian banks," Research in International Business and Finance, Elsevier, vol. 42(C), pages 242-248.
    4. Grigori Fainstein & Igor Novikov, 2011. "The role of macroeconomic determinants in credit risk measurement in transition country: Estonian example," International Journal of Transitions and Innovation Systems, Inderscience Enterprises Ltd, vol. 1(2), pages 117-137.
    5. Uquillas, Adriana & Tonato, Ronny, 2022. "Inter-portfolio credit risk contagion including macroeconomic and financial factors: A case study for Ecuador," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 299-320.
    6. Marcucci, Juri & Quagliariello, Mario, 2009. "Asymmetric effects of the business cycle on bank credit risk," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1624-1635, September.
    7. Apergis, Nicholas & Eleftheriou, Sofia, 2016. "Gold returns: Do business cycle asymmetries matter? Evidence from an international country sample," Economic Modelling, Elsevier, vol. 57(C), pages 164-170.
    8. Anastasiou, Dimitrios, 2017. "The Interplay between Ex-post Credit Risk and the Cycles: Evidence from the Italian banks," MPRA Paper 79470, University Library of Munich, Germany.

  7. Mario Quagliariello, 2007. "Macroeconomic uncertainty and banks' lending decisions: The case of Italy," Temi di discussione (Economic working papers) 615, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Wu, Ji & Yao, Yao & Chen, Minghua & Jeon, Bang Nam, 2020. "Economic uncertainty and bank risk: Evidence from emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 68(C).
    2. Caglayan, Mustafa & Xu, Bing, 2014. "Allocation effects of uncertainty on resources in Japan," Economics Letters, Elsevier, vol. 122(1), pages 23-26.
    3. Racicot, François-Éric & Théoret, Raymond, 2019. "Hedge fund return higher moments over the business cycle," Economic Modelling, Elsevier, vol. 78(C), pages 73-97.
    4. Lee, Chien-Chiang & Lee, Chi-Chuan & Zeng, Jhih-Hong & Hsu, Yu-Ling, 2017. "Peer bank behavior, economic policy uncertainty, and leverage decision of financial institutions," Journal of Financial Stability, Elsevier, vol. 30(C), pages 79-91.
    5. Romila Qamar & Shahid Mansoor Hashmi & Mughees Tahir Bhalli, 2016. "Are Basel Capital Standards Implemented Successfully in Pakistan?," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 19(62), pages 119-152, December.
    6. Calmès, Christian & Théoret, Raymond, 2014. "Bank systemic risk and macroeconomic shocks: Canadian and U.S. evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 388-402.
    7. Racicot, François-Éric & Théoret, Raymond, 2018. "Multi-moment risk, hedging strategies, & the business cycle," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 637-675.
    8. Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.
    9. Caglayan, Mustafa & Xu, Bing, 2016. "Sentiment volatility and bank lending behavior," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 107-120.
    10. Lorna Katusiime, 2018. "Private Sector Credit and Inflation Volatility," Economies, MDPI, vol. 6(2), pages 1-13, April.
    11. Talavera, Oleksandr & Tsapin, Andriy & Zholud, Oleksandr, 2012. "Macroeconomic uncertainty and bank lending: The case of Ukraine," Economic Systems, Elsevier, vol. 36(2), pages 279-293.
    12. Calmès, Christian & Théoret, Raymond, 2010. "The impact of off-balance-sheet activities on banks returns: An application of the ARCH-M to Canadian data," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1719-1728, July.
    13. Christian Calmès & Raymond Théoret, 2008. "Banking Deregulation and Financial Stability : is it Time to re-regulate in Canada ?," RePAd Working Paper Series UQO-DSA-wp042008, Département des sciences administratives, UQO.
    14. Mohammed Amidu, 2014. "What Influences Banks Lending in Sub-Saharan Africa?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 13(1), pages 1-42, April.
    15. Ekaterina Pirozhkova, 2017. "Bank loan components, uncertainty and monetary transmission mechanism," BCAM Working Papers 1702, Birkbeck Centre for Applied Macroeconomics.
    16. Christian Calmès & Raymond Théoret, 2012. "Bank systemic risk and the business cycle: Canadian and U.S. evidence," RePAd Working Paper Series UQO-DSA-wp022012, Département des sciences administratives, UQO.
    17. Caglayan, Mustafa & Xu, Bing, 2016. "Inflation volatility effects on the allocation of bank loans," Journal of Financial Stability, Elsevier, vol. 24(C), pages 27-39.
    18. Iwedi Marshal, 2017. "The Impact of Macroeconomic Dynamic on Bank Lending Behavior in Nigeria," Noble International Journal of Economics and Financial Research, Noble Academic Publsiher, vol. 2(10), pages 131-139, October.
    19. Nguyen, James, 2012. "The relationship between net interest margin and noninterest income using a system estimation approach," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2429-2437.
    20. Christian Calmès & Raymond Théoret, 2011. "Bank systemic risk and the business cycle: An empirical investigation using Canadian data," RePAd Working Paper Series UQO-DSA-wp322011, Département des sciences administratives, UQO.
    21. Xie, Qiwei & Xu, Qifan & Chen, Lifan & Jin, Xi & Li, Siqi & Li, Yongjun, 2022. "Efficiency evaluation of China's listed commercial banks based on a multi-period leader-follower model," Omega, Elsevier, vol. 110(C).
    22. Christian Calmès & Raymond Théoret, 2009. "The Impact of Banking Deregulation on Canadian Banks Returns," RePAd Working Paper Series UQO-DSA-wp022009, Département des sciences administratives, UQO.
    23. Mustafa Caglayan & Bing Xu, 2013. "Allocation Effects of Uncertainty on Resources in Japan," CFI Discussion Papers 1306, Centre for Finance and Investment, Heriot Watt University.
    24. Racicot, François-Éric & Théoret, Raymond, 2016. "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 41-61.

  8. Mario Quagliariello, 2006. "Banks� Riskiness Over the Business Cicle: a Panel Analysis on Italian Intermediaries," Temi di discussione (Economic working papers) 599, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Albertazzi, Ugo & Gambacorta, Leonardo, 2009. "Bank profitability and the business cycle," Journal of Financial Stability, Elsevier, vol. 5(4), pages 393-409, December.
    2. Carlo Brambilla & Giandomenico Piluso, 2007. "Are Banks Procyclical? Evidence from the Italian Case (1890-1973)," Department of Economics University of Siena 523, Department of Economics, University of Siena.
    3. Anastasiou, Dimitrios, 2017. "Is ex-post credit risk affected by the cycles? The case of Italian banks," Research in International Business and Finance, Elsevier, vol. 42(C), pages 242-248.
    4. Mario Quagliariello, 2009. "Macroeconomic uncertainty and banks' lending decisions: the case of Italy," Applied Economics, Taylor & Francis Journals, vol. 41(3), pages 323-336.
    5. Vasilis Siakoulis, 2017. "Fiscal policy effects on non-performing loan formation," Working Papers 224, Bank of Greece.
    6. Stefan Hlawatsch & Sebastian Ostrowski, 2009. "Economic Loan Loss Provision and Expected Loss," FEMM Working Papers 09013, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    7. Anastasiou, Dimitrios, 2017. "The Interplay between Ex-post Credit Risk and the Cycles: Evidence from the Italian banks," MPRA Paper 79470, University Library of Munich, Germany.
    8. Angelo Zago & Paola Dongili, 2011. "Credit quality and technical efficiency in banking," Empirical Economics, Springer, vol. 40(2), pages 537-558, April.
    9. Emanuel Kohlscheen & Andrés Murcia Pabón & Juan Contreras, 2018. "Determinants of bank profitability in emerging markets," BIS Working Papers 686, Bank for International Settlements.
    10. Giandomenico Piluso & Roberto Ricciuti, 2008. "Fiscal Policy and the Banking System in Italy. Have Taxes, Public Spending and Banks been Procyclical in the Long-Run?," CESifo Working Paper Series 2442, CESifo.

  9. Mario Quagliariello, "undated". "Banks' Performance over the Business Cycle: A Panel Analysis on Italian Intermediaries," Discussion Papers 04/17, Department of Economics, University of York.

    Cited by:

    1. Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.
    2. Juri Marcucci & Mario Quagliariello, "undated". "Is Bank Portfolio Riskiness Procyclical? Evidence from Italy using a Vector Autoregression," Discussion Papers 05/09, Department of Economics, University of York.
    3. Sebastiano Laviola & Juri Marcucci & Mario Quagliariello, 2006. "Stress testing credit risk: experience from the italian FSAP," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 59(238), pages 269-291.
    4. Carlo Brambilla & Giandomenico Piluso, 2007. "Are Banks Procyclical? Evidence from the Italian Case (1890-1973)," Department of Economics University of Siena 523, Department of Economics, University of Siena.
    5. Stefano Puddu, 2013. "Optimal Weights and Stress Banking Indexes," IRENE Working Papers 13-02, IRENE Institute of Economic Research.
    6. Natalia Podlich & Didar Illyasov & Elena Tsoy & Shynar Shaikh, 2010. "The Methodology of Stress Tests for the Kazakh Banking System," ifo Working Paper Series 85, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    7. Sophocles Vogiazas & Constantinos Alexiou, 2013. "Liquidity And The Business Cycle: Empirical Evidence From The Greek Banking Sector," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 58(199), pages 109-126, October -.
    8. Mario Quagliariello, 2009. "Macroeconomic uncertainty and banks' lending decisions: the case of Italy," Applied Economics, Taylor & Francis Journals, vol. 41(3), pages 323-336.
    9. Kurt Hess & Arthur Grimes & Mark Holmes, 2009. "Credit Losses in Australasian Banking," The Economic Record, The Economic Society of Australia, vol. 85(270), pages 331-343, September.
    10. Beckmann, Rainer, 2007. "Profitability of Western European banking systems: panel evidence on structural and cyclical determinants," Discussion Paper Series 2: Banking and Financial Studies 2007,17, Deutsche Bundesbank.
    11. Miss Rita Babihuga, 2007. "Macroeconomic and Financial Soundness Indicators: An Empirical Investigation," IMF Working Papers 2007/115, International Monetary Fund.
    12. Stefan Hlawatsch & Sebastian Ostrowski, 2009. "Economic Loan Loss Provision and Expected Loss," FEMM Working Papers 09013, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    13. Adam Głogowski, 2008. "Macroeconomic determinants of Polish banks’ loan losses – results of a panel data study," NBP Working Papers 53, Narodowy Bank Polski.

  10. Francesco Cannata & Mario Quagliariello, "undated". "Market and Supervisory Information: Some Evidence from Italian Banks," Discussion Papers 04/04, Department of Economics, University of York.

    Cited by:

    1. John Krainer & Jose A. Lopez, 2008. "Using Securities Market Information for Bank Supervisory Monitoring," International Journal of Central Banking, International Journal of Central Banking, vol. 4(1), pages 125-164, March.

  11. Juri Marcucci & Mario Quagliariello, "undated". "Is Bank Portfolio Riskiness Procyclical? Evidence from Italy using a Vector Autoregression," Discussion Papers 05/09, Department of Economics, University of York.

    Cited by:

    1. Antonella Foglia, 2008. "Stress testing credit risk: a survey of authorities' approaches," Questioni di Economia e Finanza (Occasional Papers) 37, Bank of Italy, Economic Research and International Relations Area.
    2. Alessandra Canepa & Fawaz Khaled, 2018. "Housing, Housing Finance and Credit Risk," IJFS, MDPI, vol. 6(2), pages 1-23, May.
    3. Inessa Love & Rima Turk Ariss, 2013. "Macro-Financial Linkages in Egypt: A Panel Analysis of Economic Shocks and Loan Portfolio Quality," Working Papers 201310, University of Hawaii at Manoa, Department of Economics.
    4. Zedginidze Zviad, 2012. "Linking Macroeconomic Dynamics to Georgian Credit Portfolio Risk," EERC Working Paper Series 12/07e, EERC Research Network, Russia and CIS.
    5. Gila-Gourgoura, E. & Nikolaidou, E., 2017. "Credit Risk Determinants in the Vulnerable Economies of Europe: Evidence from the Spanish Banking System," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 10(1), pages 60-71, March.
    6. Ruja, Catalin, 2014. "Macro Stress-Testing Credit Risk in Romanian Banking System," MPRA Paper 58244, University Library of Munich, Germany.
    7. Baselga-Pascual, Laura & Vähämaa, Emilia, 2021. "Female leadership and bank performance in Latin America," Emerging Markets Review, Elsevier, vol. 48(C).
    8. Karolina Puławska, 2022. "Effects of the bank levy introduction on the interbank market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 844-864, January.
    9. Claudia Miani & Giulio Nicoletti & Alessandro Notarpietro & Massimiliano Pisani, 2012. "Banks� balance sheets and the macroeconomy in the Bank of Italy Quarterly Model," Questioni di Economia e Finanza (Occasional Papers) 135, Bank of Italy, Economic Research and International Relations Area.
    10. Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.
    11. Guarda, Paolo & Rouabah, Abdelaziz & Theal, John, 2012. "An MVAR framework to capture extreme events in macro-prudential stress tests," Working Paper Series 1464, European Central Bank.
    12. Saadaoui Zied, 2015. "The Cyclical Behaviour of Bank Capital Buffers: An Empirical Evidence for MENA Banking Systems," Review of Middle East Economics and Finance, De Gruyter, vol. 11(2), pages 145-182, August.
    13. Saleh Alodayni, 2016. "Oil Prices, Credit Risks in Banking Systems, and Macro-Financial Linkages across GCC Oil Exporters," IJFS, MDPI, vol. 4(4), pages 1-14, November.
    14. Renato Filosa, 2007. "Stress testing of the stability of the Italian banking system: a VAR approach," Heterogeneity and monetary policy 0703, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica.
    15. Sebastiano Laviola & Juri Marcucci & Mario Quagliariello, 2006. "Stress testing credit risk: experience from the italian FSAP," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 59(238), pages 269-291.
    16. Ahmed Bouteska & Mehdi Mili, 2022. "Women’s leadership impact on risks and financial performance in banking: evidence from the Southeast Asian Countries," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 26(4), pages 1213-1244, December.
    17. Martin Macháček & Aleš Melecký & Monika Šulganová, 2018. "Macroeconomic Drivers of Non-Performing Loans: A Meta-Regression Analysis," Prague Economic Papers, Prague University of Economics and Business, vol. 2018(3), pages 351-374.
    18. Stefano Puddu, 2013. "Optimal Weights and Stress Banking Indexes," IRENE Working Papers 13-02, IRENE Institute of Economic Research.
    19. Coffinet, Jérôme & Coudert, Virginie & Pop, Adrian & Pouvelle, Cyril, 2012. "Two-way interplays between capital buffers and credit growth: Evidence from French banks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1110-1125.
    20. Antonella Foglia, 2009. "Stress Testing Credit Risk: A Survey of Authorities' Aproaches," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 9-45, September.
    21. Rasmus Kattai, 2010. "Credit risk model for the Estonian banking sector," Bank of Estonia Working Papers wp2010-01, Bank of Estonia, revised 04 Feb 2010.
    22. Abildgren, Kim, 2014. "Far out in the tails – The historical distributions of macro-financial risk factors in Denmark," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2014(1), pages 1-31.
    23. Avignone, Giuseppe & Altunbas, Yener & Polizzi, Salvatore & Reghezza, Alessio, 2021. "Centralised or decentralised banking supervision? Evidence from European banks," Journal of International Money and Finance, Elsevier, vol. 110(C).
    24. Gutierrez Girault, Matias Alfredo, 2008. "Modeling extreme but plausible losses for credit risk: a stress testing framework for the Argentine Financial System," MPRA Paper 16378, University Library of Munich, Germany.
    25. Melecky, Ales & Melecky, Martin & Sulganova, Monika, 2014. "Úvěry v selhání a makroekonomika: Modelování systémového kreditního rizika v České republice [Non-performing loans and the macroeconomy: Modeling the systemic credit risk in Czech Republic]," MPRA Paper 59917, University Library of Munich, Germany.
    26. Liu, Guanchun & He, Lei & Yue, Yiding & Wang, Jiying, 2014. "The linkage between insurance activity and banking credit: Some evidence from dynamic analysis," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 239-265.
    27. Laivi Laidroo, 2014. "Lending Growth and Cyclicality in Central and Eastern European Banks," TUT Economic Research Series 13, Department of Finance and Economics, Tallinn University of Technology.
    28. Vasiliki Makri & Konstantinos Papadatos, 2014. "How accounting information and macroeconomic environment determine credit risk? Evidence from Greece," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 7(1), pages 129-143, April.
    29. Dua, Pami & Kapur, Hema, 2018. "Macro stress testing and resilience assessment of Indian banking," Journal of Policy Modeling, Elsevier, vol. 40(2), pages 452-475.
    30. Aykut Ekinci, 2016. "Rethinking Credit Risk under the Malinvestment Concept: The Case of Germany, Spain and Italy," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2016(1), pages 39-63.
    31. Mr. Reinout De Bock & Mr. Alexander Demyanets, 2012. "Bank Asset Quality in Emerging Markets: Determinants and Spillovers," IMF Working Papers 2012/071, International Monetary Fund.
    32. Hans Degryse & Sanja Jakovljević & Steven Ongena, 2015. "A Review of Empirical Research on the Design and Impact of Regulation in the Banking Sector," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 423-443, December.
    33. Athanasoglou, Panayiotis P. & Daniilidis, Ioannis & Delis, Manthos D., 2014. "Bank procyclicality and output: Issues and policies," Journal of Economics and Business, Elsevier, vol. 72(C), pages 58-83.
    34. Marcucci, Juri & Quagliariello, Mario, 2009. "Asymmetric effects of the business cycle on bank credit risk," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1624-1635, September.
    35. Calmès, Christian & Théoret, Raymond, 2020. "Bank fee-based shocks and the U.S. business cycle," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    36. Tajik, Mohammad & Aliakbari, Saeideh & Ghalia, Thaana & Kaffash, Sepideh, 2015. "House prices and credit risk: Evidence from the United States," Economic Modelling, Elsevier, vol. 51(C), pages 123-135.
    37. Baselga-Pascual, Laura & Trujillo-Ponce, Antonio & Cardone-Riportella, Clara, 2015. "Factors influencing bank risk in Europe: Evidence from the financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 138-166.
    38. Sreejata Banerjee & Divya Murali, 2015. "Stress Test of Banks in India: A VAR Approach," Working Papers 2015-102, Madras School of Economics,Chennai,India.
    39. Morone, Marco & Cornaglia, Anna, 2010. "An econometric model to quantify benchmark downturn LGD on residential mortgages," MPRA Paper 25588, University Library of Munich, Germany.
    40. Vasiliki Makri, 2016. "Towards an Investigation of Credit Risk Determinants in Eurozone Countries," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 15(1), pages 27-57, March.
    41. Gregoriou, Greg N. & Racicot, François-Éric & Théoret, Raymond, 2021. "The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach," Economic Modelling, Elsevier, vol. 94(C), pages 843-872.
    42. International Monetary Fund, 2010. "Colombia: Selected Issues Paper," IMF Staff Country Reports 2010/106, International Monetary Fund.
    43. Antonio Salvi & Candida Bussoli & Lavinia Conca & Marisa Gigante, 2021. "Determinants of Non-Performing Loans: Evidence from Europe," International Journal of Business and Management, Canadian Center of Science and Education, vol. 13(10), pages 230-230, July.
    44. Rui Pascoal, 2012. "Macroeconomic Factors of Household Default. Is There Myopic Behaviour?," GEMF Working Papers 2012-20, GEMF, Faculty of Economics, University of Coimbra.
    45. Niyogi Sinha Roy, Tanima & Bhattacharya, Basabi, 2011. "Macroeconomic Stress Testing and the Resilience of the Indian Banking System: A Focus on Credit Risk," MPRA Paper 30263, University Library of Munich, Germany.
    46. Caporale, Guglielmo Maria & Di Colli, Stefano & Lopez, Juan Sergio, 2014. "Bank lending procyclicality and credit quality during financial crises," Economic Modelling, Elsevier, vol. 43(C), pages 142-157.
    47. Kellen Kiambati, 2020. "Influence of credit risk on shareholder market value of commercial banks listed in Nairobi Securities Exchange," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 9(2), pages 107-117, March.
    48. Baltas, Konstantinos N. & Kapetanios, George & Tsionas, Efthymios & Izzeldin, Marwan, 2017. "Liquidity creation through efficient M&As: A viable solution for vulnerable banking systems? Evidence from a stress test under a panel VAR methodology," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 36-56.
    49. V. Chiorazzo & V. D’Apice & P. Morelli & Giovanni W. Puopolo, 2015. "Economic Activity and Credit Market Linkages: New Evidence from Italy," CSEF Working Papers 413, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    50. Pami Dua & Hema Kapur, 2017. "Macro Stress Testing of Indian Bank Groups," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 11(4), pages 375-403, November.
    51. Ms. Mwanza Nkusu, 2011. "Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies," IMF Working Papers 2011/161, International Monetary Fund.
    52. Abildgren, Kim, 2012. "Business cycles, monetary transmission and shocks to financial stability: empirical evidence from a new set of Danish quarterly national accounts 1948-2010," Working Paper Series 1458, European Central Bank.
    53. Ana Kundid Novokmet, 2015. "Cyclicality of bank capital buffers in South-Eastern Europe: endogenous and exogenous aspects," Financial Theory and Practice, Institute of Public Finance, vol. 39(2), pages 139-169.
    54. Laura Baselga-Pascual & Olga Del Orden-Olasagasti & Antonio Trujillo-Ponce, 2018. "Toward a More Resilient Financial System: Should Banks Be Diversified?," Sustainability, MDPI, vol. 10(6), pages 1-16, June.
    55. Miyajima Ken, 2017. "An Empirical Investigation of Oil-Macro-financial Linkages in Saudi Arabia," Review of Middle East Economics and Finance, De Gruyter, vol. 13(2), pages 1-15, August.
    56. Bogdan-Gabriel MOINESCU, 2012. "Determinants Of Nonperforming Loans In Central And Eastern European Countries: Macroeconomic Indicators And Credit Discipline," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 47-58, December.
    57. Del Gaudio, Belinda L. & Megaravalli, Amith V. & Sampagnaro, Gabriele & Verdoliva, Vincenzo, 2020. "Mandatory disclosure tone and bank risk-taking: Evidence from Europe," Economics Letters, Elsevier, vol. 186(C).
    58. Simona Castellani & Chiara Pederzoli & Costanza Torricelli, 2008. "Indebtedness, macroeconomic conditions and banks’ loan losses: evidence from Italy," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0009, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    59. Chiara Pederzoli & Costanza Torricelli & Simona Castellani, 2010. "The Interaction of Financial Fragility and the Business Cycle in Determining Banks’ Loan Losses: An Investigation of the Italian Case," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(3), pages 129-146, November.
    60. Panayiotis P. Athanasoglou & Ioannis Daniilidis, 2011. "Procyclicality in the banking industry: causes, consequences and response," Working Papers 139, Bank of Greece.
    61. Vasiliki Makri, 2015. "What Triggers Loan Losses? An Empirical Investigation of Greek Financial Sector," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(3-4), pages 119-143, july-Dece.

Articles

  1. Mario Quagliariello, 2009. "Macroeconomic uncertainty and banks' lending decisions: the case of Italy," Applied Economics, Taylor & Francis Journals, vol. 41(3), pages 323-336.
    See citations under working paper version above.
  2. Marcucci, Juri & Quagliariello, Mario, 2009. "Asymmetric effects of the business cycle on bank credit risk," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1624-1635, September.

    Cited by:

    1. Beltratti, Andrea & Morana, Claudio, 2010. "International house prices and macroeconomic fluctuations," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 533-545, March.
    2. Chong, Beng Soon, 2010. "Interest rate deregulation: Monetary policy efficacy and rate rigidity," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1299-1307, June.
    3. Leon Li & Mark J. Holmes & Bong Soo Lee, 2016. "The asymmetric relationship between executive earnings management and compensation: a panel threshold regression approach," Applied Economics, Taylor & Francis Journals, vol. 48(57), pages 5525-5545, December.
    4. Racicot, François-Éric & Théoret, Raymond, 2019. "Hedge fund return higher moments over the business cycle," Economic Modelling, Elsevier, vol. 78(C), pages 73-97.
    5. Grigori Fainstein & Igor Novikov, 2011. "The Comparative Analysis of Credit Risk Determinants In the Banking Sector of the Baltic States," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 20-45, June.
    6. Bui, Duy-Tung & Nguyen, Canh Phuc & Su, Thanh Dinh, 2021. "Asymmetric impacts of monetary policy and business cycles on bank risk-taking: Evidence from Emerging Asian markets," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    7. Jeon, Bang & Wu, Ji & Chen, Minghua & Wang, Rui, 2016. "Do foreign banks take more risk? Evidence from emerging economies," School of Economics Working Paper Series 2016-4, LeBow College of Business, Drexel University.
    8. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Sample dependency during unconditional credit capital estimation," Finance Research Letters, Elsevier, vol. 15(C), pages 175-186.
    9. Miroslav Plasil & Tomas Konecny & Jakub Seidler & Petr Hlavac, 2015. "In the Quest of Measuring the Financial Cycle," Working Papers 2015/05, Czech National Bank.
    10. Van Tassel, Eric, 2011. "Information disclosure in credit markets when banks' costs are endogenous," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 490-497, February.
    11. Aisyah Rahman, 2010. "Financing structure and insolvency risk exposure of Islamic banks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(4), pages 419-440, December.
    12. Jokivuolle, Esa & Pesola, Jarmo & Viren, Matti, 2015. "Why is credit-to-GDP a good measure for setting countercyclical capital buffers?," Journal of Financial Stability, Elsevier, vol. 18(C), pages 117-126.
    13. Lee, Shih-Cheng & Lin, Chien-Ting & Yang, Chih-Kai, 2011. "The asymmetric behavior and procyclical impact of asset correlations," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2559-2568, October.
    14. Banerjee, Anurag & Hung, Chi-Hsiou Daniel & Lo, Kai Lisa, 2016. "An anatomy of credit risk transfer between sovereign and financials in the Eurozone crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 102-120.
    15. Chen, Minghua & Wu, Ji & Jeon, Bang Nam & Wang, Rui, 2017. "Monetary policy and bank risk-taking: Evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 31(C), pages 116-140.
    16. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Capital cyclicality, conditional coverage and long-term capital assessment," Finance Research Letters, Elsevier, vol. 15(C), pages 246-256.
    17. Saleh Alodayni, 2016. "Oil Prices, Credit Risks in Banking Systems, and Macro-Financial Linkages across GCC Oil Exporters," IJFS, MDPI, vol. 4(4), pages 1-14, November.
    18. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
    19. Xue, Wenjun & Zhang, Liwen, 2019. "Revisiting the asymmetric effects of bank credit on the business cycle: A panel quantile regression approach," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    20. Behr, Patrick & Guettler, Andre & Miebs, Felix, 2013. "On portfolio optimization: Imposing the right constraints," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1232-1242.
    21. Mihail Petkovski & Jordan Kjosevski & Kiril Jovanovski, 2018. "Empirical Panel Analysis of Non-performing Loans in the Czech Republic. What are their Determinants and How Strong is their Impact on the Real Economy?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(5), pages 460-490, October.
    22. Ion Lapteacru, 2022. "What drives the risk of European banks during crises? New evidence and insights," Working Papers hal-03775463, HAL.
    23. Hristov, Nikolay & Hülsewig, Oliver, 2017. "Unexpected loan losses and bank capital in an estimated DSGE model of the euro area," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 161-186.
    24. Ph. Du Caju & Th. Roelandt & Chr. Van Nieuwenhuyze & M.-D. Zachary, 2014. "Household debt: evolution and distribution," Economic Review, National Bank of Belgium, issue ii, pages 61-81, September.
    25. Foos, Daniel & Norden, Lars & Weber, Martin, 2010. "Loan growth and riskiness of banks," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2929-2940, December.
    26. Pesola, Jarmo, 2011. "Joint effect of financial fragility and macroeconomic shocks on bank loan losses: Evidence from Europe," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3134-3144, November.
    27. Grigori Fainstein & Igor Novikov, 2011. "The role of macroeconomic determinants in credit risk measurement in transition country: Estonian example," International Journal of Transitions and Innovation Systems, Inderscience Enterprises Ltd, vol. 1(2), pages 117-137.
    28. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2016. "Efficient estimation of unconditional capital by Monte Carlo simulation," Finance Research Letters, Elsevier, vol. 16(C), pages 75-84.
    29. Jordan Kjosevski & Mihail Petkovski, 2021. "Macroeconomic and bank-specific determinants of non-performing loans: the case of baltic states," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 48(4), pages 1009-1028, November.
    30. Athanasoglou, Panayiotis P. & Daniilidis, Ioannis & Delis, Manthos D., 2014. "Bank procyclicality and output: Issues and policies," Journal of Economics and Business, Elsevier, vol. 72(C), pages 58-83.
    31. Calmès, Christian & Théoret, Raymond, 2020. "Bank fee-based shocks and the U.S. business cycle," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    32. Tajik, Mohammad & Aliakbari, Saeideh & Ghalia, Thaana & Kaffash, Sepideh, 2015. "House prices and credit risk: Evidence from the United States," Economic Modelling, Elsevier, vol. 51(C), pages 123-135.
    33. Golbabaei, Ali & Botshekan, Mahmoud, 2022. "The capital ratio and the interest rate spread: A panel threshold regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 289-302.
    34. Rui Wang & Hang (Robin) Luo, 2019. "Does Financial Liberalization Affect Bank Risk-Taking in China?," SAGE Open, , vol. 9(4), pages 21582440198, November.
    35. Li, Kunpeng, 2022. "Threshold spatial autoregressive model," MPRA Paper 113568, University Library of Munich, Germany.
    36. Antão, Paula & Lacerda, Ana, 2011. "Capital requirements under the credit risk-based framework," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1380-1390, June.
    37. Ferdaous Bahri & Taher Hamza, 2020. "The Impact of Market Power on Bank Risk-Taking: an Empirical Investigation," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 11(3), pages 1198-1233, September.
    38. Jokivuolle, Esa & Pesola, Jarmo & Virén, Matti, 2014. "What drives loan losses in Europe?," Bank of Finland Research Discussion Papers 6/2014, Bank of Finland.
    39. Shumi Akhtar & Robert Faff & Barry Oliver, 2011. "The asymmetric impact of consumer sentiment announcements on Australian foreign exchange rates," Australian Journal of Management, Australian School of Business, vol. 36(3), pages 387-403, December.
    40. Veríssimo, Pedro & de Carvalho, Paulo Viegas & Laureano, Luís, 2021. "Asymmetries in the Euro area banking profitability," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
    41. Costello, Greg & Fraser, Patricia & Groenewold, Nicolaas, 2011. "House prices, non-fundamental components and interstate spillovers: The Australian experience," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 653-669, March.
    42. Fausto Pacicco & Luigi Vena & Andrea Venegoni, 2017. "Market Reactions to ECB Policy Innovations: A Cross-Country Analysis," LIUC Papers in Economics 2017-4, Cattaneo University (LIUC).
    43. Le, Huong Nguyen Quynh & Nguyen, Thai Vu Hong & Schinckus, Christophe, 2022. "The role of strategic interactions in risk-taking behavior: A study from asset growth perspective," International Review of Financial Analysis, Elsevier, vol. 82(C).
    44. Li, Leon & Chen, Carl R., 2016. "Analysts' forecast dispersion and stock returns: a panel threshold regression analysis based on conditional limited market participation hypothesis," Finance Research Letters, Elsevier, vol. 18(C), pages 100-107.
    45. Cucinelli, Doriana & Battista, Maria Luisa Di & Marchese, Malvina & Nieri, Laura, 2018. "Credit risk in European banks: The bright side of the internal ratings based approach," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 213-229.
    46. Morakinyo Akinola & Muller Colette & Sibanda Mabutho, 2018. "Non-Performing Loans, Banking System and Macroeconomy," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 63(2), pages 67-86, August.
    47. Dovern, Jonas & Meier, Carsten-Patrick & Vilsmeier, Johannes, 2010. "How resilient is the German banking system to macroeconomic shocks?," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1839-1848, August.
    48. Akhtar, Shumi & Faff, Robert & Oliver, Barry & Subrahmanyam, Avanidhar, 2011. "The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1239-1249, May.
    49. Jeon, Bang & Wu, Ji & Chen, Minghua & Wang, Rui, 2016. "Does foreign bank penetration affect the risk of domestic banks? Evidence from emerging economies," School of Economics Working Paper Series 2016-14, LeBow College of Business, Drexel University.
    50. Ion LAPTEACRU, 2022. "What drives the risk of European banks during crises? New evidence and insights," Bordeaux Economics Working Papers 2022-02, Bordeaux School of Economics (BSE).
    51. Li, Yuming, 2015. "The asymmetric house price dynamics: Evidence from the California market," Regional Science and Urban Economics, Elsevier, vol. 52(C), pages 1-12.
    52. Sommervoll, Dag Einar & Borgersen, Trond-Arne & Wennemo, Tom, 2010. "Endogenous housing market cycles," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 557-567, March.
    53. Cicchiello, Antonella Francesca & Cotugno, Matteo & Perdichizzi, Salvatore & Torluccio, Giuseppe, 2022. "Do capital buffers matter? Evidence from the stocks and flows of nonperforming loans," International Review of Financial Analysis, Elsevier, vol. 84(C).
    54. Simona Malovana & Zaneta Tesarova, 2019. "Banks' Credit Losses and Provisioning over the Business Cycle: Implications for IFRS 9," Working Papers 2019/4, Czech National Bank.
    55. Kuo, Chii-Shyan & Li, Ming-Yuan Leon & Yu, Shang-En, 2013. "Non-uniform effects of CEO equity-based compensation on firm performance – An application of a panel threshold regression model," The British Accounting Review, Elsevier, vol. 45(3), pages 203-214.
    56. Carlos Pérez Montes & Alejandro Ferrer Pérez, 2018. "The impact of the interest rate level on bank profitability and balance sheet structure," Revista de Estabilidad Financiera, Banco de España, issue NOV.
    57. Isnurhadi & Sulastri & Yulia Saftiana & Ferry Jie, 2022. "Banking Industry Sustainable Growth Rate under Risk: Empirical Study of the Banking Industry in ASEAN Countries," Sustainability, MDPI, vol. 15(1), pages 1-21, December.
    58. Zhang, Dayong & Cai, Jing & Dickinson, David G. & Kutan, Ali M., 2016. "Non-performing loans, moral hazard and regulation of the Chinese commercial banking system," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 48-60.
    59. Ion Lapteacru, 2022. "What drives the risk of European banks during crises? New evidence and insights," Working Papers hal-03625046, HAL.
    60. Dana Kise¾áková & Alexander Kise¾ák, 2013. "ANALYSIS OF BANKING BUSINESS AND ITS IMPACT ON FINANCIAL STABILITY OF ECONOMIES IN EURO AREA The main objective of this article is to investigate banking business and analyze factors affecting financi," Polish Journal of Management Studies, Czestochowa Technical University, Department of Management, vol. 8(1), pages 121-131, December.
    61. Bolt, Wilko & de Haan, Leo & Hoeberichts, Marco & van Oordt, Maarten R.C. & Swank, Job, 2012. "Bank profitability during recessions," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2552-2564.
    62. Dana Kiselakova & Beata Sofrankova & Miroslava Soltes, 2016. "Analytical View on the Financial and Social Stability within the Euro Area: Empirical Evidence from Slovakia," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1637-1645.
    63. Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "A new approach to the unconditional measurement of default risk," Documentos de Trabajo del ICAE 2014-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    64. Wang, Rui & Luo, Hang (Robin), 2022. "How does financial inclusion affect bank stability in emerging economies?," Emerging Markets Review, Elsevier, vol. 51(PA).
    65. J.A. Bikker & Tobias M. Vervliet, 2017. "Bank Profitability and Risk-Taking under Low Interest Rates," Working Papers 17-10, Utrecht School of Economics.
    66. Akhigbe, Aigbe & Madura, Jeff & Marciniak, Marek, 2012. "Bank capital and exposure to the financial crisis," Journal of Economics and Business, Elsevier, vol. 64(5), pages 377-392.
    67. Panayiotis P. Athanasoglou & Ioannis Daniilidis, 2011. "Procyclicality in the banking industry: causes, consequences and response," Working Papers 139, Bank of Greece.
    68. Carlos Pérez Montes & Alejandro Ferrer Pérez, 2018. "The impact of the interest rate level on bank profitability and balance sheet structure," Financial Stability Review, Banco de España, issue NOV.

  3. Marcucci, Juri & Quagliariello, Mario, 2008. "Is bank portfolio riskiness procyclical: Evidence from Italy using a vector autoregression," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 46-63, February.
    See citations under working paper version above.
  4. Francesco Cannata & Mario Quagliariello, 2007. "Analisi d'impatto della regolamentazione bancaria: metodologie e applicazioni," Mercato Concorrenza Regole, Società editrice il Mulino, issue 1, pages 161-190.

    Cited by:

    1. Francesco Cannata & Massimo Libertucci & Francesco Piersante & Mario Quagliariello, 2010. "Regulatory impact assessment at the Bank of Italy," Questioni di Economia e Finanza (Occasional Papers) 78, Bank of Italy, Economic Research and International Relations Area.

  5. Sebastiano Laviola & Juri Marcucci & Mario Quagliariello, 2006. "Stress testing credit risk: experience from the italian FSAP," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 59(238), pages 269-291.

    Cited by:

    1. Antonella Foglia, 2008. "Stress testing credit risk: a survey of authorities' approaches," Questioni di Economia e Finanza (Occasional Papers) 37, Bank of Italy, Economic Research and International Relations Area.
    2. Antonella Foglia, 2009. "Stress Testing Credit Risk: A Survey of Authorities' Aproaches," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 9-45, September.

  6. Francesco Cannata & Mario Quagliariello, 2005. "The Value of Market Information in Banking Supervision: Evidence from Italy," Journal of Financial Services Research, Springer;Western Finance Association, vol. 27(2), pages 139-162, April.

    Cited by:

    1. Urs W. Birchler & Matteo Facchinetti, 2007. "Can Bank Supervisors Rely on Market Data? A Critical Assessment from a Swiss Perspective," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 143(II), pages 95-132, June.
    2. Giuseppe De Martino & Massimo Libertucci & Mario Marangoni & Mario Quagliariello, 2010. "Countercyclical contingent capital (CCC): possible use and ideal design," Questioni di Economia e Finanza (Occasional Papers) 71, Bank of Italy, Economic Research and International Relations Area.
    3. Davide Avino & Thomas Conlon & John Cotter, 2016. "Credit Default Swaps as Indicators of Bank financial Distress," Working Papers 201601, Geary Institute, University College Dublin.
    4. Curry, Timothy J. & Fissel, Gary S. & Hanweck, Gerald A., 2008. "Equity market information, bank holding company risk, and market discipline," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 807-819, May.
    5. Tânia Costa & Júlio Lobão & Luís Pacheco, 2023. "Reassessing bank monitoring models: an empirical analysis of the value of market signals in the period 2008–2020," Journal of Banking Regulation, Palgrave Macmillan, vol. 24(2), pages 206-227, June.
    6. David VanHoose, 2007. "Market Discipline and Supervisory Discretion in Banking: Reinforcing or Conflicting Pillars of Basel II?," NFI Working Papers 2007-WP-06, Indiana State University, Scott College of Business, Networks Financial Institute.
    7. Will Kerry, 2019. "Finding the Bad Apples in the Barrel: Using the Market Value of Equity to Signal Banking Sector Vulnerabilities," IMF Working Papers 2019/180, International Monetary Fund.
    8. Selçuk Caner & Süheyla Özyıldırım & A. Ungan, 2012. "How Sensitive Are Bank Managers to Shareholder Value?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(3), pages 187-205, December.

Chapters

    Sorry, no citations of chapters recorded.

Books

  1. Quagliariello,Mario (ed.), 2009. "Stress-testing the Banking System China Edition," Cambridge Books, Cambridge University Press, number 9787504985132.

    Cited by:

    1. Alessandro Bitetto & Paola Cerchiello & Charilaos Mertzanis, 2021. "A data-driven approach to measuring financial soundness throughout the world," DEM Working Papers Series 199, University of Pavia, Department of Economics and Management.
    2. Yevgeny Mugerman & Joseph Tzur & Arie Jacobi, 2018. "Mortgage Loans and Bank Risk Taking: Finding the Risk “Sweet Spot”," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 1-30, December.
    3. Michael C. S. Wong & Ho Ming Ho, 2023. "A Framework for Integrating Extreme Weather Risk, Probability of Default, and Loss Given Default for Residential Mortgage Loans," Sustainability, MDPI, vol. 15(15), pages 1, August.
    4. Bitetto, Alessandro & Cerchiello, Paola & Mertzanis, Charilaos, 2023. "Measuring financial soundness around the world: A machine learning approach," International Review of Financial Analysis, Elsevier, vol. 85(C).

  2. Quagliariello,Mario (ed.), 2009. "Stress-testing the Banking System," Cambridge Books, Cambridge University Press, number 9780521767309.

    Cited by:

    1. George Papadopoulos & Savas Papadopoulos & Thomas Sager, 2016. "Credit risk stress testing for EU15 banks: a model combination approach," Working Papers 203, Bank of Greece.
    2. Markus K. Brunnermeier & Gary Gorton & Arvind Krishnamurthy, 2011. "Risk Topography," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 149-176, National Bureau of Economic Research, Inc.
    3. Ruja, Catalin, 2014. "Macro Stress-Testing Credit Risk in Romanian Banking System," MPRA Paper 58244, University Library of Munich, Germany.
    4. Marcin Łupiński, 2013. "Statistical Data and Models Used for Analysis and Management of Financial Stability at the Macro Level," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 32.
    5. Hatem Salah & Marwa Souissi, 2016. "Financial Stability and Macro Prudential Regulation: Policy Implication of Systemic Expected Shortfall Measure," Working Papers 985, Economic Research Forum, revised Apr 2016.
    6. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
    7. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
    8. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2013. "Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(6), pages 505-536, December.
    9. Oriol Carreras & E Philip Davis & Rebecca Piggott, 2016. "Macroprudential tools, transmission and modelling," National Institute of Economic and Social Research (NIESR) Discussion Papers 470, National Institute of Economic and Social Research.
    10. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
    11. van Lelyveld, Iman & Liedorp, Franka & Kampman, Manuel, 2011. "An empirical assessment of reinsurance risk," Journal of Financial Stability, Elsevier, vol. 7(4), pages 191-203, December.
    12. Luca Guerrieri & Michelle Welch, 2012. "Can macro variables used in stress testing forecast the performance of banks?," Finance and Economics Discussion Series 2012-49, Board of Governors of the Federal Reserve System (U.S.).
    13. Claudio Borio & Mathias Drehmann, 2009. "Towards an Operational Framework for Financial Stability: "Fuzzy" Measurement and its Consequences," Working Papers Central Bank of Chile 544, Central Bank of Chile.
    14. Rasmus Kattai, 2010. "Credit risk model for the Estonian banking sector," Bank of Estonia Working Papers wp2010-01, Bank of Estonia, revised 04 Feb 2010.
    15. Andre R. Neveu, 2018. "A survey of network-based analysis and systemic risk measurement," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 241-281, July.
    16. Kolari, James W. & López-Iturriaga, Félix J. & Sanz, Ivan Pastor, 2019. "Predicting European bank stress tests: Survival of the fittest," Global Finance Journal, Elsevier, vol. 39(C), pages 44-57.
    17. Francisco Covas & Ben Rump & Egon Zakrajšek, 2013. "Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach," Finance and Economics Discussion Series 2013-55, Board of Governors of the Federal Reserve System (U.S.).
    18. Darne, O. & Levy-Rueff, O. & Pop, A., 2013. "Calibrating Initial Shocks in Bank Stress Test Scenarios: An Outlier Detection Based Approach," Working papers 426, Banque de France.
    19. Jaimes Caruana, 2013. "Measuring Systemic Risk," Chapters, in: Andreas Dombret & Otto Lucius (ed.), Stability of the Financial System, chapter 9, Edward Elgar Publishing.
    20. Dominique Guegan & Bertrand K Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Documents de travail du Centre d'Economie de la Sorbonne 14006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    21. Solntsev, O. & Mamonov, M. & Pestova, A. & Magomedova, Z., 2011. "Experience in Developing Early Warning System for Financial Crises and the Forecast of Russian Banking Sector Dynamic in 2012," Journal of the New Economic Association, New Economic Association, issue 12, pages 41-76.
    22. Petar Marković & Branko Urošević, 2011. "Market Risk Stress Testing For Internationally Active Financial Institutions," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 56(188), pages 62-90, January –.
    23. Ventsislav Hristev, 2014. "Bank Stress-Testing Lessons from Central, Eastern and Southeastern European Countries," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 92-109, December.
    24. J'ozsef Mezei & Peter Sarlin, 2016. "RiskRank: Measuring interconnected risk," Papers 1601.06204, arXiv.org.
    25. Rodríguez, Aldo, 2020. "Estimación Bayesiana de un Modelo de Economía Abierta con Sector Bancario," Dynare Working Papers 52, CEPREMAP.
    26. Niluthpaul Sarker & Shamsun Nahar, 2018. "The Vulnerability Trends of the Banking Sector of Bangladesh: A Stress Testing Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 8(3), pages 75-85.
    27. Jozsef Mezei & Peter Sarlin, 2014. "Aggregation operators for the measurement of systemic risk," Papers 1412.5452, arXiv.org, revised Dec 2014.
    28. Alessandro Bitetto & Paola Cerchiello & Charilaos Mertzanis, 2021. "A data-driven approach to measuring financial soundness throughout the world," DEM Working Papers Series 199, University of Pavia, Department of Economics and Management.
    29. Rodrigo Alfaro & Mathias Drehmann, 2009. "Macro stress tests and crises: what can we learn?," BIS Quarterly Review, Bank for International Settlements, December.
    30. Dua, Pami & Kapur, Hema, 2018. "Macro stress testing and resilience assessment of Indian banking," Journal of Policy Modeling, Elsevier, vol. 40(2), pages 452-475.
    31. Petrella, Giovanni & Resti, Andrea, 2013. "Supervisors as information producers: Do stress tests reduce bank opaqueness?," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5406-5420.
    32. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2012. "Dynamic Stress Testing: The Framework for Testing Banking Sector Resilience Used by the Czech National Bank," Working Papers 2012/11, Czech National Bank.
    33. Vasilios Manesiotis, 2011. "Numerical fiscal rules in practice," Economic Bulletin, Bank of Greece, issue 35, pages 7-13, June.
    34. Fiedor, Pawel & Katsoulis, Petros, 2019. "An Lonn Dubh: A Framework for Macroprudential Stress Testing of Investment Funds," Financial Stability Notes 2/FS/19, Central Bank of Ireland.
    35. Yevgeny Mugerman & Joseph Tzur & Arie Jacobi, 2018. "Mortgage Loans and Bank Risk Taking: Finding the Risk “Sweet Spot”," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 1-30, December.
    36. Farmer, J. Doyne & Kleinnijenhuis, Alissa & Wetzer, Thom & Aymanns, Christopher, 2018. "Models of Financial Stability and Their Application in Stress Tests," INET Oxford Working Papers 2018-06, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
    37. Anahí Montserrat Torres Oliveros & Arturo Morales Castro & José Luis Alcalá Villarreal, 2017. "Análisis del impacto por nueva regulación a las sofomes mexicanas," Revista de Economía del Caribe 17151, Universidad del Norte.
    38. Francisco Nadal De Simone & Franco Stragiotti, 2010. "Market and Funding Liquidity Stress Testing of the Luxembourg Banking Sector," BCL working papers 45, Central Bank of Luxembourg.
    39. Georgios Papadopoulos & Dionysios Chionis & Nikolaos P. Rachaniotis, 2018. "Macro-financial linkages during tranquil and crisis periods: evidence from stressed economies," Risk Management, Palgrave Macmillan, vol. 20(2), pages 142-166, May.
    40. Mr. Rodolfo Maino & Mr. Kalin I Tintchev, 2012. "From Stress to Costress: Stress Testing Interconnected Banking Systems," IMF Working Papers 2012/053, International Monetary Fund.
    41. Rania Hentati-Kaffel & Alessandro Ravina, 2020. "The Impact of Low-Carbon Policy on Stock Returns," Post-Print hal-03045804, HAL.
    42. Patrick Van Roy & Stijn Ferrari & Cristina Vespro, 2018. "Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium," Working Paper Research 338, National Bank of Belgium.
    43. Andreas Jobst & Ms. Li L Ong & Mr. Christian Schmieder, 2013. "A Framework for Macroprudential Bank Solvency Stress Testing: Application to S-25 and Other G-20 Country FSAPs," IMF Working Papers 2013/068, International Monetary Fund.
    44. Pami Dua & Hema Kapur, 2017. "Macro Stress Testing of Indian Bank Groups," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 11(4), pages 375-403, November.
    45. Kaihua Deng & Dun Jia, 2018. "Backtesting Stress Tests: A Guide for M2 Forward Guidance," Annals of Economics and Finance, Society for AEF, vol. 19(2), pages 443-471, November.
    46. Rania Hentati-Kaffel & Alessandro Ravina, 2020. "The Impact of Low-Carbon Policy on Stock Returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03045804, HAL.
    47. Dominique Guegan & Bertrand Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Post-Print halshs-00951593, HAL.
    48. Salnikov, V. & Mogilat, A. & Maslov, I., 2012. "Stress Testing for Russian Real Sector: First Approach," Journal of the New Economic Association, New Economic Association, vol. 16(4), pages 46-70.
    49. Carreras, Oriol & Davis, E. Philip & Piggott, Rebecca, 2018. "Assessing macroprudential tools in OECD countries within a cointegration framework," Journal of Financial Stability, Elsevier, vol. 37(C), pages 112-130.
    50. Michael C. S. Wong & Ho Ming Ho, 2023. "A Framework for Integrating Extreme Weather Risk, Probability of Default, and Loss Given Default for Residential Mortgage Loans," Sustainability, MDPI, vol. 15(15), pages 1, August.
    51. Trayan Yosifov, 2019. "Maintaining and retaining user interest in selling applications for mobile gaming," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 74-85.
    52. Pavel Kapinos & Oscar A. Mitnik, 2016. "A Top-down Approach to Stress-testing Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(2), pages 229-264, June.
    53. Bitetto, Alessandro & Cerchiello, Paola & Mertzanis, Charilaos, 2023. "Measuring financial soundness around the world: A machine learning approach," International Review of Financial Analysis, Elsevier, vol. 85(C).
    54. Eszter Boros, 2020. "Risks of Climate Change and Credit Institution Stress Tests," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 19(4), pages 107-131.

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