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 …

circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel …

internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the … presence of supervision by bank regulators. The model uses a principal-agent setting between a bank's owner and its risk … standard approach subsequent to becoming regulated, i.e., the presence of regulation may induce a bank to decrease the quality …

, industries, and rating groups. We use a high-dimensional nonlinear non-Gaussian state space model to estimate common components … area sovereign debt crises. We find that macro and default-specific world factors are a primary source of default … are correlated with net tightening bank lending standards, implying that bank credit supply and systematic default risk …

that dynamic models anticipate much better on required capital buffer increases than rating strategies based on recent …

competitive environment affect bank monitoring choices and the effectiveness of capital regulation? Our approach deviates from the …

How do near-zero interest rates affect bank competition, risk taking and regulation? I study these questions in a … insurance may induce excessive risk taking. The zero lower bound on deposit rates (ZLB) distorts bank competition and boosts …

concentration of collateral bonds' risk premia in spreads of non-equity tranches. This illustrates limitations of the rating … methodologies, which are solely based on estimates of real-world payoff prospects and thus do not capture risk premia. We also show …