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Using a dynamic panel model with a threshold effect, we estimate this effect on two measures of bank risk: the Distance to Default, which reflects the market perception of risk, and the asymmetric Z-score, which corresponds to an accounting-based measure of the risk.
Dynamic panel model with threshold effect
(2013) and introduce our dynamic panel model with the threshold effect.
We build our work on a dynamic panel model with threshold effect as introduced by Kremer et al
The model provides interesting results when taking into account threshold effects.
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