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 …

This paper studies the impact of bank regulation and taxation in a dynamic model where banks are exposed to credit and …

Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs … particularly rich and well developed credit market for SMEs in Germany. We estimate asset correlations as the key measure of …

, we emphasize a new crowding-out mechanism that works through reduced private access to credit when banks accumulate …

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

credit offered to firms, and requiring the intermediaries to raise further funds by paying the cost to issue equity. This … are characteristic of the credit crunches observed in the data. …