Reinders, Henk Jan - 2020
of this threat is challenging, since banks' accounting-based loan loss provisions are sluggish. We use a Merton … contingent claims model to provide a real-time, market valuation-based assessment of the impact of COVID-19 on euro area banks …-implied losses for euro area banks could reach over €1 trillion, or 4 to 25% of corporate credits' book value (7 to 43% of available …