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 …

Assessing when credit is excessive is important to understand macro-financial vulnerabilities and guide macroprudential … policy. The Basel Credit Gap (BCG) - the deviation of the credit-to-GDP ratio from its long-term trend estimated with a one … warning of banking crises. However, for a number of European countries this indicator implausibly suggests that credit should …

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 …

, integrating non-bank financial entities, and exploring the use of agent-based models. As well, macroprudential stress tests should …

. It argues that the main indicator for buffer decisions under the Basel III framework, the credit-to-GDP gap, does not … always work best in terms of covering bank loan losses that go beyond what could be expected from economic downturns. Instead …

Bank liquidity stress testing, which has become de rigueur following the costly lessons of the global financial crisis …

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 …

Credit is key to support healthy and sustainable economic growth but excess aggregate credit growth can signal the … build-up of imbalances and lead to systemic financial crisis. Hence, monitoring the credit cycle is key to identifying … flows. We estimate the credit cycle in Central America, Panama, and the Dominican Republic and find that the creadit gap is …