| | Model A | Model B | Model C | Model D | | LCR and NSFR | LIBOR-OISS | Liquidity risk | | excluded | excluded | excluded |
| | (2 978, 4 413) | (2 978, 4 413) | (2 978, 4 413) | (2 978, 4 413) | Psuedo | (0.642, 0.645) | (0.639, 0.635) | (0.618, 0.620) | (0.610, 0.609) | AIC | (172.967, 173.5180) | (175.113, 176.073) | (183.980, 184.036) | (188.973, 189.256) | BIC | (184.877, 185.496) | (186.347, 186.096) | (197.674, 196.0993) | (198.086, 199.773) | Log likelihood | (−85.379, −85.557) | (−87.657, −86.956) | (−91.816, −91.433) | (−93.886, −94.004) | AUC statistic | (0.9823, 0.9821) | (0.9832, 0.9829) | (0.9807, 0.9809) | (0.9842, 0.9839) | HL statistic | (19.841, 19.983) | (6.464, 6.089) | (21.747, 20.947) | (24.963, 25.072) | HL value | (0.011, 0.011) | (0.063, 0.062) | (0.007, 0.007) | (0.002, 0.002) |
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| | Model A | Model B | Model C | Model D | | LCR and NSFR | LIBOR-OISS | Liquidity risk | | excluded | excluded | excluded |
| | (−0.0138***, −0.0242***) | (0.0023***, 0.0019***) | (−0.0230***, −0.0290***) | (0.0002, 0.0010) | | ([0.003], [0.003]) | ([0.0011], [0.0013]) | ([0.0024], [0.0026]) | ([0.0013], [0.0011]) | | (−0.0918***, −0.0369***) | (−0.0888***, −0.0354***) | (−0.0900***, −0.0356***) | (−0.0834***, −0.0322***) | | ([0.010], [0.011]) | ([0.009], [0.010]) | ([0.008], [0.009]) | ([0.0007], [0.0007]) | | (0.0140, 0.0157) | (0.0143***, 0.0165***) | (0.0131, 0.0127) | (0.0134***, 0.0144***) | | ([0.0112], [0.0111]) | ([0.0087], [0.0086]) | ([0.0117], [0.0116]) | ([0.0097], [0.0096]) | | (−0.0173, −0.0055) | (−0.0218***, −0.0109***) | (−0.0121, −0.0026) | (−0.0205, −0.0116) | | ([0.0218], [0.0221]) | ([0.0203], [0.0205]) | ([0.0216], [0.0219]) | ([0.0197], [0.0200]) | | (−0.0067, −0.0073) | (−0.0043, 0.0029) | (0.0003, −0.0011) | (0.0072, 0.0124) | | ([0.0039], [0.0034]) | ([0.0037], [0.0041]) | ([0.0053], [0.0056]) | ([0.0055], [0.0066]) | | (0.0993***, 0.5733***) | (0.0884, 0.8119) | (0.1199***, 0.6088***) | (0.1069***, 0.9680***) | | ([0.0297], [0.0297]) | ([0.0285], [0.0286]) | ([0.0274], [0.0273]) | ([0.0246], [0.0247]) | | (−0.1326***, −0.7184***) | (−0.1095***, −0.9477***) | (−0.1539***, −0.7255***) | (−0.1054***, −1.0600***) | | ([0.0490], [0.0490]) | ([0.0648], [0.0649]) | ([0.0250], [0.0251]) | ([0.0526], [0.0529]) | | (0.0116***, 0.0185***) | (0.0139***, 0.0233***) | (0.0103***, 0.0144***) | (0.0164***, 0.0210***) | | ([0.0010], [0.0010]) | ([0.0009], [0.0010]) | ([0.0009], [0.0009]) | ([0.0008], [0.0009]) | | (0.0013***, 0.0006***) | (0.0010***, 0.0002***) | (0.0014, 0.0000) | (0.0009, −0.0007) | | ([0.1362], [0.1698]) | ([0.1354], [0.1688]) | ([0.1535], [0.1914]) | ([0.1566], [0.1952]) | | (0.0001, 0.0005) | (0.0002, 0.0006) | (−0.0002, 0.0001) | (−0.0002, 0.0001) | | ([0.0006], [0.0004]) | ([0.0008], [0.0008]) | ([0.0005], [0.0007]) | ([0.0007], [0.0006]) | | (0.0963***, 0.1036***) | (−0.1226***, −0.1243***) | (−, −) | (−, −) | | ([0.0091], [0.0092]) | ([0.0095], [0.0094]) | ([−], [−]) | ([−], [−]) | | (0.0024, 0.0015) | (−, −) | (0.0062, 0.0046) | (−, −) | | ([0.0286], [0.0293]) | ([−], [−]) | ([0.0250], [0.0266]) | ([−], [−]) | | (0.0155***, 0.0260***) | (−, −) | (0.0211***, 0.0282***) | (−, −) | | ([0.0007], [0.0007]) | ([−], [−]) | ([0.0008], [0.0008]) | ([−], [−]) |
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