We examine the impact of banks' liquidity risk management on secondary loan sales. We track the dynamics of bank loan … importance of bank liquidity risk management as a motivation for loan sales, in addition to the credit risk transfer motive …

resulting in poorer measures of credit risk. Alternatively, banks may lay off the credit risk of high quality borrowers through … the CDS market to comply with risk-based capital requirements, which does not impact corporate credit risk. We find new … CDS against their borrowers. The results are consistent with banks using CDS to efficiently lay off credit risk rather …

We study how banks manage their default risk to optimally negotiate quantities and prices of contracts in over …. The model provides new implications which are supported by empirical evidence: (i) intermediation is done by low-risk … banks with medium initial exposure; (ii) the risk-sharing capacity of the market is impaired, even when the trade size limit …

regulatory capital twice as large as the bank that sets the lowest LGDs. We argue that these differences in risk parameters … re lation between banks' LGDs and their shares in loan syndicates, suggesting that differences in risk parameters have …

This technical note describes the Forward-Looking Analysis of Risk Events (FLARE) model, which is a top-down model that …

Counterparty credit risk (CCR), a key driver of the 2007-08 credit crisis, has become one of the main focuses of the … simulation to measure and price their counterparty credit risk. We develop efficient Monte Carlo CCR estimation frameworks by …

Risk management is the most widely-cited reason that non-financial corporations use derivatives. If hedging programs … are effective, then firms using derivatives should have lower credit risk than those that do not. Surprisingly, we find … that firms with derivative positions without a hedge accounting designation (typically higher basis risk) have higher CDS …

emerged in recent years. A key message is that crucial differences in CCPs’ role, risk profile and financial structure, when …

find that to elicit investors' willingness to pay, arrangers expose themselves to pipeline risk: They have to retain larger … debt overhang problem. Consistent with this, we find that the materialization of pipeline risk for an arranger reduces its …