adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and … macroprudential buffers in a unified, coherent framework. Its core element is an advanced credit portfolio model - SystemicCreditRisk …/country-specific systematic factors, the model focuses on credit default concentration risk as a major source of large losses that may have …

will stop credit intermediation. …

The US credit boom has been identified as one of the causes of the global financial crisis and the resulting debt … overhang is seen as the primary reason for the weak economic recovery. Most of the existing literature links the credit boom to … non-financial private sector had been originated by shadow banks. Consequently, dampening credit creation by the …

Using a unique data set on German banks' loans to the German real economy, we investigate banks' credit risk. This data … the period 2003-2011 yields the following results: (i) Beyond the nationwide credit loss rate, industry composition, and … regional factors, the loans' maturity structure is found to drive the bank-wide loss rates in the credit portfolio. (ii) The …

Using detailed data of all German banks, we find that banks which have suffered heavy credit losses reduce their … assumption of constant leverage. Weakly capitalized banks grant fewer new loans than other banks. We control for credit demand …

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

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and … extensive robustness checks for model-based credit risk stress tests. …