Quantity rationing of credit, when firms are denied loans, has greater potential to explain macroeconomic fluctuations … than borrowing costs. This paper develops a DSGE model with both types of financial frictions. A deterioration in credit … receiving financing, which leads to a persistent fall in real activity. Empirical evidence confirms that credit market …

useful for estimating recovery rates required by many popular models of credit risk and for determining collateral haircuts …

of capital requirements on the allocation of credit and its interaction with procyclicality, and compare Basel I and … Basel II type capital requirements. We consider competitive credit markets where entrepreneurs of varying ability can apply …

requirements in which banks’ corporate credit risks are modeled with macroeconomic variables. We can thus define scenarios such as … a mild recession and consider the resulting credit risk developments and consequent changes in minimum capital … requirements. We also emphasize the importance of stress testing future minimum capital requirements jointly with credit losses …

The rating-sensitive capital charges on credit risks under the new Basel Accord are likely to increase the volatility … cushion depends on the bank’s credit portfolio risk and its chosen approach for calculating the minimum capital requirement … high-quality credit portfolios than does the standardised approach, this capital relief is countered by the need for larger …

1986 to 2003 and estimate a macroeconomic credit risk model for the Finnish corporate sector. The sample period includes a … indebtedness. The estimated model is employed to analyse corporate credit risks conditional on current macroeconomic conditions … adverse macroeconomic events on the banks’ credit risks stemming from the corporate sector. The results of the stress tests …

of Basel II on the efficiency of bank lending. We consider competitive credit markets where entrepreneurs may apply for …