and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider … attenuated (amplified) market volatility and risk premium, but the market value is always higher in economic downturns, and lower …

transparency or illiquidity. However, several of the important announcements concerning the international swap programs …

We analyse the implications for the pricing of bank loans of the reform of capital regulation known as Basel II. We …-sensitive standardized approach of Basel II. We also show that only an extremely high social cost of bank failure might justify the proposed …

We investigate the impact of the stance and path of monetary policy on the level of credit risk of individual bank … loans and on lending standards. We employ the Credit Register of the Bank of Spain that contains detailed monthly … – generating almost twenty-three million bank loan records in total. Spanish monetary conditions were exogenously determined during …

This Paper analyses the empirical relationship between credit default swap, bond and stock markets during the period … autoregressive model and the adjustment between markets caused by cointegration. First, we find that stock returns lead CDS and bond … spread changes. Second, CDS spread changes Granger cause bond spread changes for a higher number of firms than vice versa …

The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using … risk and bank risk, with the former being overall more important in explaining bank risk, than vice versa. The paper … focuses specifically on the impact of non-standard monetary policy measures by the European Central Bank and on the effects of …