This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … the standard risk frameworks in CSF (Gaussian, Single Risk Factor Model; GSRFM), popular among market participants. If … implemented in a �static� fashion, GSRFM can substantially underprice risk at times of stress. I introduce a simple ï …

and a sharp increase in credit risk. Taking advantage of the presence of multiple lending relationships to control for … credit demand and risk at the individual-firm level, we show that foreign lenders restricted credit supply (to the same firm …

programmes on banks� risk and valuation, looking at the behaviour of CDS premia and stock prices. We then proceed to analyse …

We find evidence of a bank lending channel for the euro area operating via bank risk. Financial innovation and the new … ways to transfer credit risk have tended to diminish the informational content of standard bank balance-sheet indicators …. We show that bank risk conditions, as perceived by financial market investors, need to be considered, together with the …