given a central role in the evaluation of the riskiness of bank loans. Another novelty is that retail credit and loans to … the differences between the risk properties of retail, SME and corporate credit has been based on parameterized models of … credit risk. In this paper we present new quantitative evidence on the implied credit loss distributions for two Swedish …

both company, loan related and macroeconomic variables. Next, we obtain a Value-at-Risktype (VaR) credit risk measure, by … model-based simulations. Moreover, we study how both the bank’s credit risk and bu.er capital changes over time (had the … conditional on company, loan and macro variables, (ii) study portfolio credit risk over time, (iii) assess to what extent the new …

the complete business loan portfolios of two Swedish banks and a credit bureau over the period 1997-2000. We study rating … class distributions, - transitions and default behavior and compute the credit loss distributions that each rating system … parameters, credit risk can be reduced by up to 40 percent by doubling the loan portfolio size. We also discuss the relation …

Using panel data of 68,800 small and large firms, I examine whether firms are subject to shifts in the supply of credit … over the business cycle. Shifts in the supply of credit are identified by exploring how firms substitute between commitment … credit - lines of credit - and non-commitment credit. I find that firms on average rely more on commitment credits when …