Banks' off-balance sheet manipulations
D Parnes - The Quarterly Review of Economics and Finance, 2022 - Elsevier
In this study, we deploy various methods for analyses of digits and provide rigorous empirical
evidence that most banks’ off-balance sheet items have partial conformity to Benford’s law …
evidence that most banks’ off-balance sheet items have partial conformity to Benford’s law …
Heterogeneous noncompliance with OPEC's oil production cuts
D Parnes - Energy Economics, 2019 - Elsevier
In this study we explore the heterogeneous noncompliance behavior among ten member
nations of the Organization of the Petroleum Countries (OPEC). Overall we find that the three …
nations of the Organization of the Petroleum Countries (OPEC). Overall we find that the three …
Modeling the contagion of bank runs with a Markov model
D Parnes - The Quarterly Review of Economics and Finance, 2021 - Elsevier
In this study, we develop a generic Markov model that tracks in real-time and forecasts the
potential contagion of bank runs during severe contractionary economic cycles. The proposed …
potential contagion of bank runs during severe contractionary economic cycles. The proposed …
Spatial autocorrelation patterns among US commercial banks: before, during and after the subprime mortgage crisis
D Parnes - Applied Economics, 2022 - Taylor & Francis
We study patterns of spatial autocorrelations of four customary performance measures (return
on asset, return on equity, net interest margin, and loan loss reserves to total assets) …
on asset, return on equity, net interest margin, and loan loss reserves to total assets) …
Exploring economic anomalies in the S&P500 index
D Parnes - The Quarterly Review of Economics and Finance, 2020 - Elsevier
We examine anomalies in the S&P500 index, an equity-based proxy for the US economy, from
January 1957 until December 2018. We use the LOcally wEighted Scatterplot Smoothing (…
January 1957 until December 2018. We use the LOcally wEighted Scatterplot Smoothing (…
[HTML][HTML] Typical States and Their Risks for Mortgage Loans
D Parnes - Journal of Quantitative Economics, 2023 - Springer
In this study, we construct a compartmental model that tracks the different states and their
respective hazards for typical mortgage loans. We consider that an active mortgage loan could …
respective hazards for typical mortgage loans. We consider that an active mortgage loan could …
The corporate acquisition policy of financially distressed firms
D Parnes - Financial Review, 2009 - Wiley Online Library
The paper examines a unique motive for corporate acquisitions among distressed firms: the
desire to enhance creditworthiness by both the acquirer and the acquired firms. I develop a …
desire to enhance creditworthiness by both the acquirer and the acquired firms. I develop a …
The information content of analysts reports and bankruptcy risk measures
D Parnes - Applied financial economics, 2010 - Taylor & Francis
We evaluate the information content of analysts’ reports and bankruptcy risk quantities towards
each other, and examine whether differences arise between low- and high-risk firms and …
each other, and examine whether differences arise between low- and high-risk firms and …
Prescreening bank failures with K-means clustering: Pros and cons
D Parnes, A Gormus - International Review of Financial Analysis, 2024 - Elsevier
To study the merits of the popular K-means clustering technique while predicting failures of
commercial banks, we contrast hereafter two forecasting systems. The first one contains two …
commercial banks, we contrast hereafter two forecasting systems. The first one contains two …
Time series patterns in credit ratings
D Parnes - Finance Research Letters, 2007 - Elsevier
This article offers a substitute setting to simulate credit rating migrations. The internal
correlations model tracks time-series movements within credit rating entries, rather than cross-…
correlations model tracks time-series movements within credit rating entries, rather than cross-…