funding restrictions that condition their borrowing to a risk-based capital constraint which, in turn, affects bank lending …

bank lending channel (and the risk-taking channel) literature. The impact of short-term interest rates on the growth rate …

’ performance), we find that the PD distribution shifts to the right causing an increase in loan loss provisions and a decrease in …

In this paper we seek to assess the ability of banks to withstand the e?ects of an increase in credit risk as a result … of changes in the macroeconomic environment. To do so we estimate a credit risk model for each loan type as a function of … macroeconomic shock on bank’s performance indicators, such as the NPL ratio, the return on assets, and the capital adequacy ratio …