-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common …

management for the customers, the bearing of credit risk, and term transformation. For the year 2012, the costs of liquidity and … payment management correspond, in the median, to 47%, the bearing of credit risk to 16%, and earnings from term transformation …

interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on … lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …

Default probabilities (PDs) and correlations play a crucial role in the New Basel Capital Accord. In commercial credit … of the credit cycle. Thus, uncertainties about the parameters which are needed for Value-at-Risk calculations in …

This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default … swaps (CDS). It picks up where Blanco et al (2005) leave off but is focused on European credit markets. The study is based … visibly during the turbulence on the credit markets in early 2005 in favour of that of the bond market. …

This study empirically examine the impact of market conditions on credit spreads as motivated by recently developed … structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads … are decreasing in GDP growth rate, but increasing in GDP growth volatility. We document that credit spreads are lower when …