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

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. …

asymmetric information the banks face the risk of adverse selection. Credit Value-at-Risk (CVaR) regulation counters the problem …Banks provide risky loans to firms which have superior information regarding the quality of their projects. Due to … of low quality, i.e. high risk, loans and therefore reduces the risk of the bank loan portfolio. However, CVaR regulation …

raise the question of how to choose the estimation sample. We employ a standard regression framework analyzing bank lending … urging questions on bank lending, e.g., in the presence of financial shocks or climate change. However, many data options …

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