lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank’s credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …

We develop a macroeconomic portfolio stress test that is specifically geared towards small and medium-sized banks. We … combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model …

risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has …-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common …

finance premium, while a BGG model generates too low volatility. The full model also matches the procyclicality of bank …

portfolio. Overall, our results provide evidence for international spillovers of prudential instruments, these spillovers are …

minimum standard is unlikely to exhibit adverse consequences for credit supply and bank profitability. …

The role of bank capital as a propagation channel of shocks is strongly pronounced in recent macroeconomic models. In … this paper, we show how the evolution of bank capital depends on the share of non-state-contingent assets in banks’ balance …