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We define the latter as the post-GFC high liquidity sub-period.
Fig. 1 shows that the full sample pe- riod for which we have data on BHCs can be divided into three sub-periods with distinct trends in the deposit to asset ratio that define three separate liquidity regimes in the US banking sector.
We extend the baseline model to test the relationship between funding liquidity risk and bank risk for banks with high capital buffers, large banks, banks with high levels of deposits and dur- ing the GFC sub-period:
We use testdummy to capture the effects of both bank types and sub-periods.
Secondly, GFC is an indicator variable taking a value of 1 for the sub-period from،the credit risk model will assign default probabilities for each sub-period of
FIGURE 2.3 Assigning default probability to asset maturity sub-periods.
A default probability for an asset's sub-period is the marginal default probability for that period.
the credit risk model will assign default probabilities for each sub-period of an asset's life until maturity.
A default probability for an asset's sub-period
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