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Patrick Van Roy

Personal Details

First Name:Patrick
Middle Name:
Last Name:Van Roy
Suffix:
RePEc Short-ID:pva184
Terminal Degree:2006 European Centre for Advanced Research in Economics and Statistics (ECARES); Solvay Brussels School of Economics and Management; Université Libre de Bruxelles (from RePEc Genealogy)

Affiliation

(50%) Nationale Bank van België/Banque national de Belqique (BNB)

Bruxelles/Brussel, Belgium
http://www.nbb.be/

(+ 32) (0) 2 221 25 34
(+ 32) (0) 2 221 31 62
Boulevard de Berlaimont 14, B-1000 Bruxelles
RePEc:edi:bnbgvbe (more details at EDIRC)

(50%) European Centre for Advanced Research in Economics and Statistics (ECARES)
Solvay Brussels School of Economics and Management
Université Libre de Bruxelles

Bruxelles, Belgium
http://ecares.org/

(32 2) 650 30 75
(32 2) 650 44 75
Av. F.D., Roosevelt, 39, 1050 Bruxelles
RePEc:edi:arulbbe (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. 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.
  2. Janet Mitchell & Patrick Van Roy & Cristina Vespro, 2017. "Ten years after the financial crisis: Regulatory reforms and the Belgian Banking Sector," ULB Institutional Repository 2013/258931, ULB -- Universite Libre de Bruxelles.
  3. François Koulischer & Patrick Van Roy, 2017. "Using bank loans as collateral in Europe : The role of liquidity and funding purposes," Working Paper Research 318, National Bank of Belgium.
  4. Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2010. "What determines euro area bank CDS spreads ?," Working Paper Research 190, National Bank of Belgium.
  5. Patrick Van Roy & Hervé Broquet, 2007. "Vocabulaire de l'économie en Belgique," ULB Institutional Repository 2013/9863, ULB -- Universite Libre de Bruxelles.
  6. Janet Mitchell & Patrick Van Roy, 2007. "Failure prediction models : performance, disagreements, and internal rating systems," Working Paper Research 123, National Bank of Belgium.
  7. Patrick Van Roy & Janet Mitchell, 2007. "A survey of failure prediction models offered by vendors with an application to Belgian data," ULB Institutional Repository 2013/9873, ULB -- Universite Libre de Bruxelles.
  8. Patrick Van Roy, 2006. "Essays on the economics of banking and the prudential regulation of banks," ULB Institutional Repository 2013/210882, ULB -- Universite Libre de Bruxelles.
  9. Patrick Van Roy, 2006. "Is there a difference between solicited and unsolicited bank ratings and if so, why ?," Working Paper Research 79, National Bank of Belgium.
  10. Patrick Van Roy, 2005. "Credit ratings and the standardised approach to credit risk in Basel II," Finance 0509014, University Library of Munich, Germany.
  11. Patrick Van Roy, 2005. "Is there a difference in treatment between solicited and unsolicited bank ratings and, if so, why?," Finance 0509012, University Library of Munich, Germany.
  12. Patrick Van Roy, 2005. "The impact of the 1988 Basel Accord on banks' capital ratios and credit risk-taking: an international study," Finance 0509013, University Library of Munich, Germany.

Articles

  1. Janet Mitchell & Patrick Van Roy & Cristina Vespro, 2017. "Ten Years after the Financial Crisis: Regulatory Reforms and the Belgian Banking Sector," Reflets et perspectives de la vie économique, De Boeck Université, vol. 0(1), pages 9-28.
  2. Eric Gustin & Patrick Van Roy, 2014. "The role of internal models in regulatory capital requirements: a comparison of Belgian banks’ credit risk parameters," Financial Stability Review, National Bank of Belgium, vol. 12(1), pages 141-151, June.
  3. Patrick Roy, 2013. "Is There a Difference Between Solicited and Unsolicited Bank Ratings and, If So, Why?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 44(1), pages 53-86, August.
  4. Stijn Ferrari & Glenn Schepens & Patrick Van Roy, 2013. "Loans to non-financial corporations: what can we learn from credit condition surveys?," Financial Stability Review, National Bank of Belgium, vol. 11(1), pages 103-117, June.
  5. Patrick Van Roy & Cristina Vespro, 2012. "The role and impact of external support in bank credit ratings," Financial Stability Review, National Bank of Belgium, vol. 10(1), pages 109-119, June.
  6. Stijn Ferrari & Patrick Van Roy & Cristina Vespro, 2011. "Stress testing credit risk: modelling issues," Financial Stability Review, National Bank of Belgium, vol. 9(1), pages 105-120, June.
  7. Stijn Ferrari & Patrick Van Roy & Cristina Vespro, 2010. "In search of timely credit risk indicators : a view of the current crisis from a market-implied ratings perspective," Financial Stability Review, National Bank of Belgium, vol. 8(1), pages 161-175, June.
  8. Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2009. "What determines euro area bank CDS spreads ?," Financial Stability Review, National Bank of Belgium, vol. 7(1), pages 153-169, June.
  9. Patrick Van Roy, 2008. "Réglementation prudentielle des banques et notations bancaires non sollicitées," Reflets et perspectives de la vie économique, De Boeck Université, vol. 0(3), pages 79-86.
  10. Patrick Van Roy, 2008. "Capital Requirements and Bank Behaviour in the Early 1990: Cross-Country Evidence," International Journal of Central Banking, International Journal of Central Banking, vol. 4(3), pages 29-60, September.
  11. Patrick Van Roy, 2008. "Transparency in banking," Financial Stability Review, National Bank of Belgium, vol. 6(1), pages 133-147, June.
  12. Janet Mitchell & Patrick Van Roy, 2007. "A survey of failure prediction models offered by vendors with an application to Belgian data," Financial Stability Review, National Bank of Belgium, vol. 5(1), pages 135-144, June.

Chapters

  1. Patrick van Roy & Gaia Barbic & Anne Koban & Charalampos Kouratzoglou, 2017. "Use of credit registers to monitor financial stability risks: A cross-country application to sectoral risk," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Data needs and Statistics compilation for macroprudential analysis, volume 46, Bank for International Settlements.

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. François Koulischer & Patrick Van Roy, 2017. "Using bank loans as collateral in Europe : The role of liquidity and funding purposes," Working Paper Research 318, National Bank of Belgium.

    Cited by:

    1. Cassola, Nuno & Koulischer, François, 2019. "The collateral channel of open market operations," Journal of Financial Stability, Elsevier, vol. 41(C), pages 73-90.
    2. Matteo Salto & Stefano Zedda & Stefan Zeugner, 2020. "Using Supra-Covered Bonds to Enhance Liquidity in the Euro Area: Assessment of Advantages for the Banking Sector," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(12), pages 1-10, November.

  2. Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2010. "What determines euro area bank CDS spreads ?," Working Paper Research 190, National Bank of Belgium.

    Cited by:

    1. Balcilar, Mehmet & Hammoudeh, Shawkat & Toparli, Elif Akay, 2018. "On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach," Energy Economics, Elsevier, vol. 74(C), pages 813-827.
    2. Arnold, Ivo J.M. & Soederhuizen, Beau, 2018. "Bank stability and refinancing operations during the crisis: Which way causality?," Research in International Business and Finance, Elsevier, vol. 43(C), pages 79-89.
    3. Shahzad, Syed Jawad Hussain & Kumar, Ronald Ravinesh & Ali, Sajid & Ameer, Saba, 2016. "Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 8-33.
    4. Avino, Davide & Cotter, John, 2014. "Sovereign and bank CDS spreads: two sides of the same coin?," MPRA Paper 55208, University Library of Munich, Germany.
    5. Avino, Davide & Cotter, John, 2013. "Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?," MPRA Paper 56782, University Library of Munich, Germany.
    6. Benbouzid, Nadia & Leonida, Leone & Mallick, Sushanta K., 2018. "The non-monotonic impact of bank size on their default swap spreads: Cross-country evidence," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 226-240.
    7. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Kumar, Ronald Ravinesh & Mensi, Walid, 2017. "Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 310-324.
    8. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    9. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Ferrer, Roman & Hammoudeh, Shawkat, 2017. "Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach," Economic Modelling, Elsevier, vol. 60(C), pages 211-230.
    10. Matteo Foglia & Eliana Angelini, 2019. "The Time-Spatial Dimension of Eurozone Banking Systemic Risk," Risks, MDPI, Open Access Journal, vol. 7(3), pages 1-25, July.
    11. Sclip, Alex & Girardone, Claudia & Miani, Stefano, 2019. "Large EU banks’ capital and liquidity: Relationship and impact on credit default swap spreads," The British Accounting Review, Elsevier, vol. 51(4), pages 438-461.
    12. Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2012. "Examining what best explains corporate credit risk: accounting-based versus market-based models," Working Papers 12.03, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
    13. Tölö, Eero & Jokivuolle, Esa & Virén, Matti, 2014. "Do private signals of a bank s creditworthiness predict the bank s CDS price? : Evidence from the Eurosystem's overnight loan rates," Research Discussion Papers 9/2014, Bank of Finland.
    14. Herve Alexandre & François Guillemin & Catherine Refait-Alexandre, 2015. "Disclosure, banks CDS spreads and the European sovereign crisis," Working Papers hal-01376916, HAL.
    15. Parrado-Martínez, Purificación & Gómez-Fernández-Aguado, Pilar & Partal-Ureña, Antonio, 2019. "Factors influencing the European bank’s probability of default: An application of SYMBOL methodology," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 223-240.
    16. Gong, Yaxian, 2020. "Credit default swap and two-sided moral hazard," Finance Research Letters, Elsevier, vol. 34(C).
    17. Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2017. "Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis," Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 371-385.
    18. Tölö, Eero & Jokivuolle, Esa & Virén, Matti, 2017. "Do banks’ overnight borrowing rates lead their CDS price? Evidence from the Eurosystem," Journal of Financial Intermediation, Elsevier, vol. 31(C), pages 93-106.
    19. Wisniewski, Tomasz Piotr & Lambe, Brendan John, 2015. "Does economic policy uncertainty drive CDS spreads?," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 447-458.
    20. Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2014. "Doom-loops: The Role of Rating Agencies in the Euro Financial Crisis," Discussion Papers in Economics 14/16, Division of Economics, School of Business, University of Leicester.
    21. Emilios C. Galariotis & Panagiota Makrichoriti & Spyros Spyrou, 2016. "Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach," Post-Print hal-01358715, HAL.
    22. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2016. "What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets," Economic Modelling, Elsevier, vol. 52(PB), pages 981-996.
    23. Drago, Danilo & Tommaso, Caterina Di & Thornton, John, 2017. "What determines bank CDS spreads? Evidence from European and US banks," Finance Research Letters, Elsevier, vol. 22(C), pages 140-145.
    24. Leppin, Julia S. & Reitz, Stefan, 2014. "The Role of a Changing Market Environment for Credit Default Swap Pricing," FinMaP-Working Papers 7, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    25. Davide Avino & Thomas Conlon & John Cotter, 2016. "Credit Default Swaps as Indicators of Bank financial Distress," Working Papers 201601, Geary Institute, University College Dublin.
    26. Enrico Laghi & Michele Di Marcantonio & Eugenio D'Amico, 2014. "Estimating credit default swap spreads using accounting data, market quotes and credit ratings: the European Banks Case," FINANCIAL REPORTING, FrancoAngeli Editore, vol. 2014(2-3-4), pages 59-81.
    27. Amine Lahiani & Shawkat Hammoudeh & Rangan Gupta, 2014. "Linkages between Financial Sector CDS Spreads and Macroeconomic Influence in a Nonlinear Setting," Working Papers 201456, University of Pretoria, Department of Economics.
    28. Liu, Liuling & Zhang, Gaiyan & Fang, Yiwei, 2016. "Bank credit default swaps and deposit insurance around the world," Journal of International Money and Finance, Elsevier, vol. 69(C), pages 339-363.
    29. Koresh Galil & Offer Moshe Shapir & Dan Amiram & Uri Ben-Zion, 2013. "The Determinants Of Cds Spreads," Working Papers 1318, Ben-Gurion University of the Negev, Department of Economics.
    30. Kapar, B. & Olmo, J., 2011. "The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk," Working Papers 11/02, Department of Economics, City University London.
    31. Kelly, Robert & Byrne, David, 2019. "Bank asset quality and monetary policy pass-through," ESRB Working Paper Series 98, European Systemic Risk Board.
    32. Iñaki Aldasoro & Kyounghoon Park, 2018. "Bank solvency risk and funding cost interactions in a small open economy: evidence from Korea," BIS Working Papers 738, Bank for International Settlements.
    33. Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
    34. Chan, Kam Fong & Marsden, Alastair, 2014. "Macro risk factors of credit default swap indices in a regime-switching framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 285-308.
    35. Georgoutsos, Dimitris & Moratis, George, 2017. "Bank-sovereign contagion in the Eurozone: A panel VAR Approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 146-159.
    36. Arnould, Guillaume & Pancaro, Cosimo & Żochowski, Dawid, 2020. "Bank funding costs and solvency," Bank of England working papers 853, Bank of England.
    37. Khaled Guesmi & Abderrazak Dhaoui & Stéphane Goutte & Ilyes Abid, 2018. "On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting," Post-Print halshs-02148926, HAL.
    38. Kizys, Renatas & Paltalidis, Nikos & Vergos, Konstantinos, 2016. "The quest for banking stability in the euro area: The role of government interventions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 111-133.
    39. Marc Peters & Hugues Pirotte, 2014. "Unveiling Sovereign Effects in European Banks CDS Spreads Variations," Working Papers CEB 14-018, ULB -- Universite Libre de Bruxelles.
    40. Hasan, Iftekhar & Liu, Liuling & Zhang, Gaiyan, 2014. "The determinants of global bank credit-default-swap spreads," Research Discussion Papers 33/2014, Bank of Finland.
    41. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Spillover effects in oil-related CDS markets during and after the sub-prime crisis," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    42. Hacioglu Hoke, Sinem & Kapetanios, George, 2017. "Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models," Bank of England working papers 683, Bank of England.
    43. Ulf Mohrmann & Jan Riepe, 2019. "The link between the share of banks’ Level 3 assets and their default risk and default costs," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 1163-1189, May.
    44. Muhammad Saifuddin Khan, 2018. "The Role of Liquidity in Financial Intermediation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2018.
    45. Paulo Pereira da Silva, 2016. "Did Investors Seeking Short Exposure Move to the CDS Market after the 2011 Short-Sale Bans in European Financial Stocks?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 322-353, August.
    46. Nicolas Soenen & Rudi Vander Vennet, 2020. "Drivers of Bank Default Risk: Bank Business Models, the Sovereign and Monetary Policy," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 20/997, Ghent University, Faculty of Economics and Business Administration.
    47. Irresberger, Felix & Weiß, Gregor N.F. & Gabrysch, Janet & Gabrysch, Sandra, 2018. "Liquidity tail risk and credit default swap spreads," European Journal of Operational Research, Elsevier, vol. 269(3), pages 1137-1153.
    48. V. Rasskazov E. & В. Рассказов Е., 2016. "Измерение Финансового Заражения На Примере Моделирования Риска Банковского Дефолта // The Methodology For Measuring Financial Contagion: The Case Study Of Bank Default Risk Simulation," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 20(3), pages 54-61.
    49. Petra Buzkova & Milos Kopa, 2016. "On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(6), pages 510-538, December.
    50. Belke, Ansgar & Gokus, Christian, 2011. "Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions," Ruhr Economic Papers 243, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    51. Benbouzid, Nadia & Mallick, Sushanta K. & Sousa, Ricardo M., 2017. "Do country-level financial structures explain bank-level CDS spreads?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 135-145.
    52. Adrian Van Rixtel & Gabriele Gasperini, 2013. "Financial crises and bank funding: recent experience in the euro area," BIS Working Papers 406, Bank for International Settlements.
    53. 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.
    54. Sabkha, Saker & de Peretti, Christian & Hmaied, Dorra, 2019. "Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach," Research in International Business and Finance, Elsevier, vol. 50(C), pages 106-133.
    55. José Da Fonseca & Katrin Gottschalk, 2020. "The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets," International Review of Finance, International Review of Finance Ltd., vol. 20(3), pages 551-579, September.
    56. Benbouzid, Nadia & Mallick, Sushanta & Pilbeam, Keith, 2018. "The housing market and the credit default swap premium in the UK banking sector: A VAR approach," Research in International Business and Finance, Elsevier, vol. 44(C), pages 1-15.
    57. Emanuel Kohlscheen & Előd Takáts, 2020. "What can commercial property performance reveal about bank valuations?," BIS Working Papers 900, Bank for International Settlements.
    58. Britta Niehof, 2014. "Spillover Effects in Government Bond Spreads: Evidence from a GVAR Model," MAGKS Papers on Economics 201458, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    59. Carlos Castro Iragorri & Stijn Ferrari, 2010. "Measuring the systemic importance of financial institutions using market information," Financial Stability Review, National Bank of Belgium, vol. 8(1), pages 127-141, June.
    60. Samaniego-Medina, Reyes & Trujillo-Ponce, Antonio & Parrado-Martínez, Purificación & di Pietro, Filippo, 2016. "Determinants of bank CDS spreads in Europe," Journal of Economics and Business, Elsevier, vol. 86(C), pages 1-15.
    61. Sun, Xiaolei & Wang, Jun & Yao, Yanzhen & Li, Jingyu & Li, Jianping, 2020. "Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective," International Review of Financial Analysis, Elsevier, vol. 68(C).
    62. Marisa Basten & Antonio Sánchez Serrano, 2019. "European banks after the global financial crisis: a new landscape," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(1), pages 51-73, March.
    63. Amir Alizadeh & Konstantina Kappou & Dimitris Tsouknidis & Ilias Visvikis, 2014. "Liquidity Risk Premia in the International Shipping Derivatives Market," ICMA Centre Discussion Papers in Finance icma-dp2014-15, Henley Business School, Reading University.
    64. Roshanthi Dias, 2017. "The role of managerial risk-taking in the ‘rise and fall’ of the CDS market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57, pages 117-145, April.
    65. Dent, Kieran & Hacioglu Hoke, Sinem & Panagiotopoulos, Apostolos, 2017. "Solvency and wholesale funding cost interactions at UK banks," Bank of England working papers 681, Bank of England.
    66. Antonio Di Cesare & Giovanni Guazzarotti, 2010. "An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil," Temi di discussione (Economic working papers) 749, Bank of Italy, Economic Research and International Relations Area.
    67. Alizadeh, Amir H. & Kappou, Konstantina & Tsouknidis, Dimitris & Visvikis, Ilias, 2015. "Liquidity effects and FFA returns in the international shipping derivatives market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 76(C), pages 58-75.
    68. Alsakka, Rasha & ap Gwilym, Owain & Vu, Tuyet Nhung, 2014. "The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 235-257.
    69. Pereira, John & Sorwar, Ghulam & Nurullah, Mohamed, 2018. "What drives corporate CDS spreads? A comparison across US, UK and EU firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 188-200.

  3. Janet Mitchell & Patrick Van Roy, 2007. "Failure prediction models : performance, disagreements, and internal rating systems," Working Paper Research 123, National Bank of Belgium.

    Cited by:

    1. Seung Jung Lee, 2009. "How Information Quality of Macro Aggregates Affects Sovereign Risk: An Empirical Investigation," Review of International Economics, Wiley Blackwell, vol. 17(3), pages 510-532, August.
    2. Hainz, Christa, 2008. "Bank Competition - When is it Good?," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 244, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.

  4. Patrick Van Roy, 2006. "Is there a difference between solicited and unsolicited bank ratings and if so, why ?," Working Paper Research 79, National Bank of Belgium.

    Cited by:

    1. Alexander Karminsky & Richard Hainsworth & Vasily Solodkov, 2013. "Arm’s Length Method for Comparing Rating Scales," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 3(2), pages 114-135, December.
    2. Winnie P. H. Poon & Kam C. Chan, 2010. "Solicited and Unsolicited Credit Ratings: A Global Perspective," Working Papers id:3112, eSocialSciences.
    3. Luitel, Prabesh & Vanpée, Rosanne & De Moor, Lieven, 2016. "Pernicious effects: How the credit rating agencies disadvantage emerging markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 286-298.
    4. Bonsall, Samuel B., 2014. "The impact of issuer-pay on corporate bond rating properties: Evidence from Moody׳s and S&P׳s initial adoptions," Journal of Accounting and Economics, Elsevier, vol. 57(2), pages 89-109.
    5. Byoun, Soku & Fulkerson, Jon A. & Han, Seung Hun & Shin, Yoon S., 2014. "Are unsolicited ratings biased? Evidence from long-run stock performance," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 326-338.
    6. Winnie P. H. Poon & Junsoo Lee & Benton E. Gup, 2009. "Do Solicitations Matter in Bank Credit Ratings? Results from a Study of 72 Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2-3), pages 285-314, March.
    7. Pompella, Maurizio & Dicanio, Antonio, 2017. "Ratings based Inference and Credit Risk: Detecting likely-to-fail Banks with the PC-Mahalanobis Method," Economic Modelling, Elsevier, vol. 67(C), pages 34-44.
    8. Naoto Shimoda & Yuko Kawai, 2007. "Credit Rating Gaps in Japan: Differences between Solicited and Unsolicited Ratings, and "Rating Splits"," Bank of Japan Working Paper Series 07-E-11, Bank of Japan.
    9. Bernal, Oscar & Girard, Alexandre & Gnabo, Jean-Yves, 2016. "The importance of conflicts of interest in attributing sovereign credit ratings," International Review of Law and Economics, Elsevier, vol. 47(C), pages 48-66.
    10. Byoun, Soku, 2014. "Information content of unsolicited credit ratings and incentives of rating agencies: A theory," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 338-349.
    11. Klusak, Patrycja & Thornton, John & Uymaz, Yurtsev, 2020. "Do personal connections improve sovereign credit ratings?," Finance Research Letters, Elsevier, vol. 33(C).
    12. Huang, Yu-Li & Shen, Chung-Hua, 2019. "What role does the investor-paid rating agency play in China? Competitor or information provider," International Review of Economics & Finance, Elsevier, vol. 63(C), pages 253-272.

  5. Patrick Van Roy, 2005. "Credit ratings and the standardised approach to credit risk in Basel II," Finance 0509014, University Library of Munich, Germany.

    Cited by:

    1. Miles Livingston & Jie (Diana) Wei & Lei Zhou, 2010. "Moody's and S&P Ratings: Are They Equivalent? Conservative Ratings and Split Rated Bond Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1267-1293, October.
    2. Sami Ben Naceur & Magda Kandil, 2013. "Has The Basel Capital Requirement Caused Credit Crunch In The Mena Region?," Middle East Development Journal (MEDJ), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-33.
    3. Drago, Danilo & Gallo, Raffaele, 2018. "Do multiple credit ratings affect syndicated loan spreads?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 1-16.
    4. Hauck, Achim & Neyer, Ulrike, 2014. "Disagreement between rating agencies and bond opacity: A theoretical perspective," Economics Letters, Elsevier, vol. 123(1), pages 82-85.
    5. Hasan, Iftekhar & Kim, Suk-Joong & Wu, Eliza, 2015. "The effects of ratings-contingent regulation on international bank lending behavior: Evidence from the Basel 2 Accord," Journal of Banking & Finance, Elsevier, vol. 61(S1), pages 53-68.
    6. Tewari, Manish & Byrd, Anthony & Ramanlal, Pradipkumar, 2015. "Callable bonds, reinvestment risk, and credit rating improvements: Role of the call premium," Journal of Financial Economics, Elsevier, vol. 115(2), pages 349-360.

  6. Patrick Van Roy, 2005. "Is there a difference in treatment between solicited and unsolicited bank ratings and, if so, why?," Finance 0509012, University Library of Munich, Germany.

    Cited by:

    1. Eleimon Gonis & Salima Paul & Jon Tucker, 2012. "Rating or no rating? That is the question: an empirical examination of UK companies," The European Journal of Finance, Taylor & Francis Journals, vol. 18(8), pages 709-735, September.

  7. Patrick Van Roy, 2005. "The impact of the 1988 Basel Accord on banks' capital ratios and credit risk-taking: an international study," Finance 0509013, University Library of Munich, Germany.

    Cited by:

    1. Boubacar Camara & Laetitia Lepetit & Amine Tarazi, 2013. "Ex Ante Capital Position, Changes in the Different Components of Regulatory Capital and Bank Risk," Post-Print hal-00918521, HAL.
    2. Paroush, Jacob & Schreiber, Ben Z., 2019. "Profitability, capital, and risk in US commercial and savings banks: Re-examination of estimation methods," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 148-162.
    3. Shayanewako Varaidzo Batsirai & Asrat Tsegaye & Yohane Khamfula, 2019. "The Nexus between Macro-Prudential Banking Regulation, Interest Rate Spread and Monetary Policy in South Africa," Journal of Economics and Behavioral Studies, AMH International, vol. 10(6), pages 141-151.
    4. Dario Bauso & Ehud Lehrer & Eilon Solan & Xavier Venel, 2015. "Attainability in Repeated Games with Vector Payoffs," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 739-755, March.

Articles

  1. Eric Gustin & Patrick Van Roy, 2014. "The role of internal models in regulatory capital requirements: a comparison of Belgian banks’ credit risk parameters," Financial Stability Review, National Bank of Belgium, vol. 12(1), pages 141-151, June.

    Cited by:

    1. 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.
    2. Ferri, Giovanni & Pesic, Valerio, 2017. "Bank regulatory arbitrage via risk weighted assets dispersion," Journal of Financial Stability, Elsevier, vol. 33(C), pages 331-345.

  2. Patrick Roy, 2013. "Is There a Difference Between Solicited and Unsolicited Bank Ratings and, If So, Why?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 44(1), pages 53-86, August. See citations under working paper version above.
  3. Stijn Ferrari & Glenn Schepens & Patrick Van Roy, 2013. "Loans to non-financial corporations: what can we learn from credit condition surveys?," Financial Stability Review, National Bank of Belgium, vol. 11(1), pages 103-117, June.

    Cited by:

    1. Filardo, Andrew J. & Siklos, Pierre L., 2020. "The cross-border credit channel and lending standards surveys," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    2. Andrew Filardo & Pierre Siklos, 2018. "The cross-border credit channel and lending standards surveys," BIS Working Papers 723, Bank for International Settlements.

  4. Patrick Van Roy & Cristina Vespro, 2012. "The role and impact of external support in bank credit ratings," Financial Stability Review, National Bank of Belgium, vol. 10(1), pages 109-119, June.

    Cited by:

    1. Toader, Oana, 2015. "Quantifying and explaining implicit public guarantees for European banks," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 136-147.

  5. Stijn Ferrari & Patrick Van Roy & Cristina Vespro, 2011. "Stress testing credit risk: modelling issues," Financial Stability Review, National Bank of Belgium, vol. 9(1), pages 105-120, June.

    Cited by:

    1. Ruja, Catalin, 2014. "Macro Stress-Testing Credit Risk in Romanian Banking System," MPRA Paper 58244, University Library of Munich, Germany.
    2. 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.
    3. B. De Backer & Ph. Du Caju & M. Emiris & Ch. Van Nieuwenhuyze, 2015. "Macroeconomic determinants of non-performing loans," Economic Review, National Bank of Belgium, issue iii, pages 47-65, December.

  6. Jan Annaert & Marc De Ceuster & Patrick Van Roy & Cristina Vespro, 2009. "What determines euro area bank CDS spreads ?," Financial Stability Review, National Bank of Belgium, vol. 7(1), pages 153-169, June.
    See citations under working paper version above.
  7. Patrick Van Roy, 2008. "Capital Requirements and Bank Behaviour in the Early 1990: Cross-Country Evidence," International Journal of Central Banking, International Journal of Central Banking, vol. 4(3), pages 29-60, September.

    Cited by:

    1. José Filipe Abreu & Mohamed Azzim Gulamhussen, 2015. "The Effectiveness of Regulatory Capital Requirements Prior to the Onset of the Financial Crisis," International Review of Finance, International Review of Finance Ltd., vol. 15(2), pages 199-221, June.
    2. Ghosh, Saibal, 2018. "Bad luck, Bad policy or Bad banking? Understanding the financial management behavior of MENA banks," Journal of Multinational Financial Management, Elsevier, vol. 47, pages 110-128.
    3. Brox, James A., 2009. "Too Small to Fail: Canadian Banks, Regulation, and the North American Financial Crisis," The Journal of Economic Asymmetries, Elsevier, vol. 6(2), pages 31-46.
    4. Agenor, Pierre-Richard & Pereira da Silva, Luiz A., 2009. "Cyclical effects of bank capital requirements with imperfect credit markets," Policy Research Working Paper Series 5067, The World Bank.
    5. Maria Th. Kasselaki & Athanasios O. Tagkalakis, 2013. "Financial soundness indicators and financial crisis episodes," Working Papers 158, Bank of Greece.
    6. Rim El-Khoury, 2020. "Regulation, bank capital, and bank risk: evidence from the Lebanese banking industry," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(3), pages 241-255, September.
    7. Eickmeier, Sandra & Kolb, Benedikt & Prieto, Esteban, 2018. "Macroeconomic effects of bank capital regulation," Discussion Papers 44/2018, Deutsche Bundesbank.
    8. Saibal Ghosh, 2016. "Capital Buffer, Credit Risk and Liquidity Behaviour: Evidence for GCC Banks," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 58(4), pages 539-569, December.
    9. Ghosh, Saibal, 2017. "Does central bank governors term in office matter for macroprudential policies? Evidence from MENA banks," Research in International Business and Finance, Elsevier, vol. 40(C), pages 34-51.
    10. Samina RIAZ & Venus Khim-Sen LIEW & Rossazana Bt Ab RAHIM, 2019. "The Impact of Business Cycle on Pakistani Banks Capital Buffer and Portfolio Risk," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 57-71, March.
    11. Johann Jacobs & Gary Vuuren, 2014. "A Case for Economic Capital as a Pillar 1 Regulatory Tool," South African Journal of Economics, Economic Society of South Africa, vol. 82(2), pages 290-314, June.
    12. Ghosh, Saibal, 2014. "Risk, capital and financial crisis," MPRA Paper 65246, University Library of Munich, Germany.
    13. John Muellbauer & Pierre St-Amant & David Williams, 2015. "Credit Conditions and Consumption, House Prices and Debt: What Makes Canada Different?," Staff Working Papers 15-40, Bank of Canada.
    14. Saibal Ghosh, 2018. "Electoral Cycles and Project Outcomes," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 527-552, June.
    15. Giuseppe Mastromatteo & Giuseppe Mastromatteo, 2016. "Minsky at Basel: A Global Cap to Build an Effective Postcrisis Banking Supervision Framework," Economics Working Paper Archive wp_875, Levy Economics Institute.
    16. Nguyen, Quang Thi Thieu & Gan, Christopher & Li, Zhaohua, 2019. "Bank capital regulation: How do Asian banks respond?," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).

Chapters

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 7 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (3) 2010-05-15 2017-04-30 2018-03-26
  2. NEP-FMK: Financial Markets (3) 2005-09-29 2005-09-29 2006-03-18
  3. NEP-RMG: Risk Management (3) 2008-01-05 2010-05-15 2018-03-26
  4. NEP-BEC: Business Economics (2) 2008-01-05 2010-05-15
  5. NEP-EEC: European Economics (2) 2010-05-15 2017-04-30
  6. NEP-REG: Regulation (2) 2005-09-29 2005-09-29
  7. NEP-ACC: Accounting & Auditing (1) 2006-03-18
  8. NEP-CBA: Central Banking (1) 2010-05-15
  9. NEP-MAC: Macroeconomics (1) 2017-04-30
  10. NEP-SEA: South East Asia (1) 2006-03-18

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