We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We …

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We …

and credit easing. The central bank controls the policy rate, i.e. the price of money in open market operations, as well … increases the size of the central bank's balance sheet, can increase real activity and prices, while a credit easing policy …, this set-up gives rise to an (il-)liquidity premium on non-eligible assets. Then, a quantitative easing policy, which …

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 …

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

discipline by monitoring counterparty credit risk and theories highlighting that secured loans are less informational sensitive …, we find that banks with low credit worthiness replace unsecured borrowing with secured loans. Moreover, riskier lenders … provide more secured loans to replace unsecured lending, which is not consistent with speculative or precautionary liquidity …

liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …

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 …

systemic banks. First, a Distance-to-Default type measure relates a bank's default risk to its capital requirements. Second, a …