credit institutions operate. …

This paper analyses the cyclical behaviour of bank credit, loan losses and provisions for loan losses in Spain. These … and regulators. In a context of strong competitive pressures, there is a tendency for loose bank credit conditions in an … upturn in view of the low level of contemporaneous non-performing loans. This may contribute to an over-extension of credit …

household credit, considering that the behaviour of its determinants is exogenous. According to the evidence reported, household …

During the last crisis, developed economies’ sovereign Credit Default Swap (hereafter CDS) premia have gained in … importance as a tool for approximating credit risk. In this paper, we fit a dynamic factor model to decompose the sovereign CDS …

This article estimates a general credit risk model with both macroeconomic and latent credit factors for Spanish banks … during the period 2004-2010. The proposed framework allows to estimate with bank level data both the standard credit risk … model of Basel II and generalized models. I fi nd evidence of persistence in the credit latent factor and of a signifi cant …

other explanatory variables. The study uses information on the more than three million loans entered into by Spanish credit … institutions over a complete business cycle (1988 to 2000) collected by the Bank of Spain's Credit Register (Central de Información …

This paper finds strong empirical support of a positive, although quite lagged, relationship between rapid credit … growth and loan losses. Moreover, it contains empirical evidence of more lenient credit terms during boom periods, both in … shareholders regarding the incentives of the former to engage in too expansionary credit policies during lending booms. The paper …

This paper develops a flexible and computationally efficient model to estimate the credit loss distribution of the … allowed to depend on macroeconomic conditions as well as on unobservable credit risk factors, which can capture contagion …. We apply our model to the Spanish credit market, where we find that sectorial default frequencies are affected by a …

compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …