Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk … default rate and loss given default of bank loans share a cyclical component, related to the business cycle. We infer this … downturns. Our model implies substantial time-variation in banks' capital reserves, and helps predicting the losses. …

to firms are determined at the EU level. Therefore, we use it to identify bank outcomes. Banks with relationships to more … whether government subsidies to firms affect quantity and quality of bank lending. We combine recipient firms under the … Improvement of Regional Economic Structures program (GRW) with their local banks during 1998-2019. The modalities of GRW subsidies …

actual credit risk experiment, addressing the issue of pro-cyclicality in ratings and capital buffer formation. It turns out … historical data. In this way, dynamic credit risk models may help to alleviate part of the pro-cyclicality problem. …

the credit cycle from the micro rating data. We relate this cycle to the business cycle, bank lending conditions, and …

We analyse the poisonous interaction between bank rescues, financial fragility and sovereign debt discounts. In our … sovereign debt discount. We introduce long term government debt, which gives rise to the possibility of capital losses on bank … duration of the government bonds, as higher interest rates on new debt lead to capital losses on banks' holding of existing …

Under Basel III rules, banks become subject to a liquidity coverage ratio (LCR) from 2015 onwards, to promote short …-term resilience. We investigate the effects of such liquidity regulation on bank liquid assets and liabilities. Results indicate co …

separating equilibrium with no limit pricing; thelow-cost incumbent repays more to the bank in the first period, due to the … threat of entry; andthere are parameter values for which the bank makes more profits with the threat of entry thanwithout. …