We explore empirically how the time-varying allocation of credit across firms with heterogeneous credit quality matters … credit allocation, captured by Greenwood and Hanson (2013)'s ISS indicator, helps predict downside risks to GDP growth and … systemic banking crises, two to three years ahead. Our analysis indicates that the riskiness of credit allocation is both a …

This paper studies episodes in which aggregate bank credit contracts alongside expanding economic activity-credit …--on average, they occur every five years. By comparison, banking crises take place every eight years on average. Credit reversals …

of this increase is due to a component of credit spreads that is in excess of firms' expected default. Our results …Credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting … with high leverage experience a more pronounced increase in credit spreads than firms with low leverage. A large fraction …

Adequate loan classification practices are an essential part of a sound and effective credit risk-management process in … a bank. Failure to identify deterioration in credit quality in a timely manner can aggravate and prolong the problem …

-leveraged. We find default probability deteriorates most in large, over-leveraged firms and those that were stressed pre …-COVID. Additional stress tests predict value of these firms will be less than one standard deviation away from default if cash flows …

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping … capital structure analysis, credit portfolio management, and long-term scenario planning analysis …

life-cycle profile of home ownership, and the mortgage default rate. The average coefficients that measure the agents …

recognize ""maturity default"" that results in banks rolling over impaired-loan accounts, effectively turning them into …