The main objective of this study is to analyze the type of relationship that exists between liquidity risk - measured with the liquidity coverage ratio and the net stable funding ratio - and the probability of default. The sample is composed of 575 listed and non-listed Eurozone banks and the methodology applied in the analysis is OLS regression based on panel data.

The relationship between liquidity risk and probability of default: evidence from the Euro area

CUCINELLI, DORIANA
2013

Abstract

The main objective of this study is to analyze the type of relationship that exists between liquidity risk - measured with the liquidity coverage ratio and the net stable funding ratio - and the probability of default. The sample is composed of 575 listed and non-listed Eurozone banks and the methodology applied in the analysis is OLS regression based on panel data.
2013
Cucinelli, Doriana
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11565/3889720
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