) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if … cooperative banks. In the second part we measure the overall effect of better monitoring and the associated higher sectoral credit … concentrations on the credit risk of the portfolio. Our empirical results suggest that specialization benefits overcompensate the …

-data of loans to SME and corporations of an anonymous commercial bank from Central Europe. LGD estimates are important inputs … in the pricing of credit risk and the measurement of bank profitability and solvency. Basel II Advance IRB Approach …

Kreditgeber und Kreditnehmer zeigt die Analyse des optimalen anreizkompatiblen Kreditvertrages, dass Risikoaversion des …

Credit ratings are commonly used by lenders to assess the default risk, because every credit is connected with a … possible loss. If the probability of a default is above a certain threshold, a credit will not be provided. The purpose of this … paper is to test whether credit ratings contribute valuable information on the creditworthiness of firms. Employing a large …

as a single-name credit instrument (i.e., a loan equivalent). While tractable, the loan-equivalent approach requires …

We consider 1927 borrowers from 54 countries who had a credit rating by both Moody's and S&P as of the end of 1998, and …

terms of informational losses, avoiding rating reversals can be more harmful than monitoring credit quality only twice per …

A firm's current leverage ratio is one of the core characteristics of credit quality used in statistical default … of the duration model increases substantially when leverage forecasts are included. We further document that credit …