Articles
Bank insolvency risk and different approaches to aggregate Z-score measures: a note, Applied Economics Letters (2011)
We discuss to what extent existing approaches to the construction of aggregate Z-score measures capture...
Bank insolvency risk and Z-score measures with unimodal returns, Applied Economics Letters (2011)
We specialize the established justification for using Z-scores as a risk measure reflecting a bank's...
Does uncertainty matter for loan charge-offs? (with Laetitia Lepetit and David G. Dickinson), Journal of International Financial Markets, Institutions & Money (2011)
Using a stylized real options model, we show that discretion over the timing of charging...
Bank insolvency risk and aggregate Z-score measures: a caveat, Economics Bulletin (2010)
We demonstrate that a popular approach to constructing (weighted) mean-based aggregate bank insolvency risk measures...
Financial Fragility and Crisis Union in the Asia-Pacific Region, Global Economy Journal (2009)
We examine whether core ASEAN+3 countries might be interested in joining a financial "crisis union,"...
Unpublished Papers
Bank Equity Involvement in Industrial Firms and Bank Risk (with Laetitia Lepetit), Available at SSRN: http://ssrn.com/abstract=1713223 (2011)
The regulatory framework in Europe does not prevent banks from taking large or controlling equity...
Bank Insolvency Risk and Z-Score Measures: A Refinement, Available at SSRN: http://ssrn.com/abstract=1753735 (2011)
We re-examine the probabilistic foundation of the link between Z-score measures and banks' probability of...
Uncertainty and Switching in the Mortgage Market (with Celine Gondat-Larralde), Available at SSRN: http://ssrn.com/abstract=1515862 (2010)
We examine when it might be optimal for borrowers to switch providers of debt products...