additional bank capital needs could be large. The paper concludes discussing uses of the mapping beyond PD valuation suitable for …

conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to … that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk …

We examine how bank competition in the run-up to the 2007-2009 crisis affects banks' systemic risk during the crisis …. We then investigate whether this effect is influenced by two key bank characteristics: securitization and bank capital …. Using a sample of the largest listed banks from 15 countries, we find that greater market power at the bank level and higher …

contract their balance sheets. These bank responses generate externalities that propagate in the form of macro … macro-financial feedback loops can significantly affect macroeconomic outcomes and bank-specific stress tests results. The … heterogeneity in bank lending responses matters: it determines how each bank fares under adverse conditions and the external effects …

with bank-level data to study the contagion potential of an exogenous shock via credit and funding risks. We find that …-linear function of the combination of network structures and bank-specific characteristics …

links changes in the financial environment and the distribution of future bank capital ratios. This forward …

presents a market-based structural top-down stress testing methodology that relies in market-based measures of a bank …

bond returns are high. At the bank level, bondholdings correlate negatively with subsequent lending during sovereign …