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Title: Factors Influencing the European Bank’s Probability of Default: An Application of SYMBOL Methodology
Authors: Parrado Martínez, P.
Gómez Fernández-Aguado, P.
Partal Ureña, A.
Abstract: 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.
Keywords: Probability of default, Basel regulatory framework, CAMEL indicators, SYMBOL, Financial stability
Issue Date: 2019
metadata.dc.description.sponsorship: Fundación de la Universidad de Cantabria para el Estudio y la Investigación del sector Financiero (UCEIF) y el Banco Santander.
Publisher: Elsevier
Appears in Collections:DEFC-Artículos

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