ratios- following intra- and (particularly) interstate liberalization of bank branching restrictions. This effect arises …

We propose a simple and implementable model of credit contagion where we in-clude macro- and microstructural … risk measure for credit risk management is a delicate task. …

Credit limit management is of paramount importance for successful short-term credit-risk management, even more so when … the situation in credit and financial markets is tense. We consider a continuous-time model where the credit provider and … the credit taker interact within a game-theoretic framework under different information structures. The model with …

We introduce an adaptive importance sampling method for the loss distribution of credit portfolios based on the Robbins … calculating the risk figures of a typical medium-sized credit risk portfolio with 2000 obligors. Simulating the tail of the loss …

We analyze optimal risk management strategies for a regulatory restricted bank financed with deposits and equity in an … infinite horizonmodel. The bank has a positive franchise value from rents coming from deposit related services (liquidity … franchise value and the liquidation costs in case of a bank run give the bank a motivation for risk management. The franchise …