Factors Influencing the European Bank’s Probability of Default: An Application of SYMBOL Methodology

This paper analyses European banks’ probability of default (PD) by estimating a new measure that is based on the SYstemic Model of Bank Originated Losses (SYMBOL). First, we calculate the individual PD of a sample of European credit institutions during the period of 2011–2016. Then, dynamic panel da...

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Detalhes bibliográficos
Autores: Parrado-Martínez, Purificación, Gómez-Fernández-Aguado, Pilar, Partal-Ureña, Antonio
Formato: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2019
País:España
Recursos:Universidad de Jaén
Repositorio:RUJA. Repositorio Institucional de la Producción Científica de la Universidad de Jaén
OAI Identifier:oai:ruja.ujaen.es:10953/1369
Acesso em linha:https://doi.org/10.1016/j.intfin.2019.04.003
https://hdl.handle.net/10953/1369
https://www.sciencedirect.com/science/article/pii/S1042443118304700?via%3Dihub
Access Level:acceso abierto
Palavra-chave:Probability of default
Basel regulatory framework
CAMEL indicators
SYMBOL
Financial stability
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spelling Factors Influencing the European Bank’s Probability of Default: An Application of SYMBOL MethodologyParrado-Martínez, PurificaciónGómez-Fernández-Aguado, PilarPartal-Ureña, AntonioProbability of defaultBasel regulatory frameworkCAMEL indicatorsSYMBOLFinancial stabilityThis paper analyses European banks’ probability of default (PD) by estimating a new measure that is based on the SYstemic Model of Bank Originated Losses (SYMBOL). First, we calculate the individual PD of a sample of European credit institutions during the period of 2011–2016. Then, dynamic panel data models are estimated to analyse the influence of several bank-specific and macroeconomic variables on the PD. We conclude that capital adequacy, liquidity, asset quality and profitability indicators influence the European banks’ PD. The macroeconomic scenario, the industry concentration and the size of banks also appear to have an impact on their risk.Fundación de la Universidad de Cantabria para el Estudio y la Investigación del sector Financiero (UCEIF) y el Banco Santander.Elsevier202420242019info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfhttps://doi.org/10.1016/j.intfin.2019.04.003https://hdl.handle.net/10953/1369https://www.sciencedirect.com/science/article/pii/S1042443118304700?via%3Dihubreponame:RUJA. Repositorio Institucional de la Producción Científica de la Universidad de Jaéninstname:Universidad de JaénInglésJournal of International Financial Markets, Institutions & Money. 61, pp. 223 - 240info:eu-repo/semantics/openAccessoai:ruja.ujaen.es:10953/13692026-06-24T12:41:07Z
dc.title.none.fl_str_mv Factors Influencing the European Bank’s Probability of Default: An Application of SYMBOL Methodology
title Factors Influencing the European Bank’s Probability of Default: An Application of SYMBOL Methodology
spellingShingle Factors Influencing the European Bank’s Probability of Default: An Application of SYMBOL Methodology
Parrado-Martínez, Purificación
Probability of default
Basel regulatory framework
CAMEL indicators
SYMBOL
Financial stability
title_short Factors Influencing the European Bank’s Probability of Default: An Application of SYMBOL Methodology
title_full Factors Influencing the European Bank’s Probability of Default: An Application of SYMBOL Methodology
title_fullStr Factors Influencing the European Bank’s Probability of Default: An Application of SYMBOL Methodology
title_full_unstemmed Factors Influencing the European Bank’s Probability of Default: An Application of SYMBOL Methodology
title_sort Factors Influencing the European Bank’s Probability of Default: An Application of SYMBOL Methodology
dc.creator.none.fl_str_mv Parrado-Martínez, Purificación
Gómez-Fernández-Aguado, Pilar
Partal-Ureña, Antonio
author Parrado-Martínez, Purificación
author_facet Parrado-Martínez, Purificación
Gómez-Fernández-Aguado, Pilar
Partal-Ureña, Antonio
author_role author
author2 Gómez-Fernández-Aguado, Pilar
Partal-Ureña, Antonio
author2_role author
author
dc.subject.none.fl_str_mv Probability of default
Basel regulatory framework
CAMEL indicators
SYMBOL
Financial stability
topic Probability of default
Basel regulatory framework
CAMEL indicators
SYMBOL
Financial stability
description This paper analyses European banks’ probability of default (PD) by estimating a new measure that is based on the SYstemic Model of Bank Originated Losses (SYMBOL). First, we calculate the individual PD of a sample of European credit institutions during the period of 2011–2016. Then, dynamic panel data models are estimated to analyse the influence of several bank-specific and macroeconomic variables on the PD. We conclude that capital adequacy, liquidity, asset quality and profitability indicators influence the European banks’ PD. The macroeconomic scenario, the industry concentration and the size of banks also appear to have an impact on their risk.
publishDate 2019
dc.date.none.fl_str_mv 2019
2024
2024
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://doi.org/10.1016/j.intfin.2019.04.003
https://hdl.handle.net/10953/1369
https://www.sciencedirect.com/science/article/pii/S1042443118304700?via%3Dihub
url https://doi.org/10.1016/j.intfin.2019.04.003
https://hdl.handle.net/10953/1369
https://www.sciencedirect.com/science/article/pii/S1042443118304700?via%3Dihub
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Journal of International Financial Markets, Institutions & Money. 61, pp. 223 - 240
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:RUJA. Repositorio Institucional de la Producción Científica de la Universidad de Jaén
instname:Universidad de Jaén
instname_str Universidad de Jaén
reponame_str RUJA. Repositorio Institucional de la Producción Científica de la Universidad de Jaén
collection RUJA. Repositorio Institucional de la Producción Científica de la Universidad de Jaén
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,228081

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