We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using … the credit cycle from the micro rating data. We relate this cycle to the business cycle, bank lending conditions, and … financial market variables. In line with earlier studies, these variables appear to explain part of the credit cycle. As our …

asymmetric information the banks face the risk of adverse selection. Credit Value-at-Risk (CVaR) regulation counters the problem … distorts the operation of credit markets. We show that a binding CVaR constraint introduces credit rationing and lowers social …

This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The … puzzle, first detected in corporate bonds, consists of two stylized facts: Structural determinants of credit risk not only … Eurozone. Incorporating the network information into the structural model for bank credit spreads increases explanatory power …

the novel framework to analyse a database of significance-flags of Granger causality tests for pair-wise credit default … characterize as "local" and "international" banks. The credit-risk spillovers take place between banks, from the same and from …