which we found significant explanatory power are: Capital Adequacy, Credit Spread, the ratio of Total Loans to Total Assets …

manifested in a convex dependence of bank capital requirements on the quantity of uncollateralized credit. We find that this kind …

This study deals with credit risk modelling and stress testing within the context of a Merton-type one-factor model. We … analyse the corporate and household sectors of the Czech Republic and Germany to find determining variables of credit risk in … both countries. We find that a set of similar variables explains corporate credit risk in both countries despite …

This paper analyses the impact of different credit risk-based capital requirement implementations on banks' need for … credit risk models. Economic capital requirements for the latter are obtained by means of Monte Carlo simulations. In the …

Excessive credit growth is often considered to be an indicator of future problems in the financial sector. This paper … examines the issue of how to determine whether the observed level of private sector credit is excessive in the context of the â …, provides alternative estimates of excessive private credit and shows that the HP filter calculation proposed by the Basel …

the network. The simulation results suggest that the potential for contagion due to credit losses on interbank exposures …

output and inflation with a lag, and if the central bank has privileged information about credit risk, monetary policy … responding instantly to increased credit risk can trade off more output and inflation instability today for a faster return to …