lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …

, and the bank approval disparity is also larger in more racially biased counties. We conclude that insofar as automation by …

heuristic approaches which capture the deviation of a bank's portfolio from a specified benchmark. Conceivable benchmarks are … indicate contradicting results on the individual bank level. Since distance measures are more appealing from a theoretical …, may be misleading. We further find that, despite these differences on the individual bank level, both approaches reveal …

-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 …

This paper presents the results of an analysis of data on individual bank loans of non-financial corporations in the … single bank, whereas less creditworthy firms and firms in cyclical industries tend to borrow from more than one bank. The … shows that the level of credit risk at bank level decreases in line with the extent to which firms applying single …