fundamental risk. This effect is separate from the liquidation externality caused by fire sales of seized collateral upon default …

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 …

access to credit for small and medium-size enterprises (SMEs). The most direct consequence of the reform is to reduce in the … reduce the aggregate investment by SMEs in a more than proportional way, since it will restrict the access to credit for some …

than fair spreads on similarly-rated corporate bonds. It implies that credit ratings are not sufficient for pricing, which … concentration of collateral bonds' risk premia in spreads of non-equity tranches. This illustrates limitations of the rating … that payoff prospects and credit quality of CDO tranches are characterized by low stability. If credit conditions …

This paper empirically analyzes moral hazard in car insurance using a dynamic theory of an insuree's dynamic risk (ex … ante moral hazard) and claim (ex post moral hazard) choices and Dutch longitudinal micro data. We use the theory to …