Banks provide risky loans to firms which have superior information regarding the quality of their projects. Due to asymmetric information the banks face the risk of adverse selection. Credit Value-at-Risk (CVaR) regulation counters the problem of low quality, i.e. high risk, loans and therefore...

Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to the size dependence of regulatory capital requirements....

We propose an improved methodology for modelling potential scenario paths of banks' riskweighted assets, which drive the denominator of capital adequacy ratios. Our approach centres on modelling the internal risk structure of bank portfolios and thus aims to provide more accurate estimations...

By examining the relationship between private credit growth and the possibility of credit risk while focusing on international capital in 21 countries over the period 2000:1Q-2015:2Q, this paper shows that the impact of private credit growth on credit risk is apparent under the high ratio of...

We empirically investigate the effect that relationship lending has on the availability and pricing of interbank liquidity. Our analysis is based on a daily panel of unsecured overnight loans between 1,079 distinct German bank pairs from March 2006 to November 2007, a period that includes the...

The paper aims to examine the new regulatory framework of project finance in the economics of banking firms. In particular, the paper investigates the uniqueness of the project finance, the significant importance of the project finance in bank activity, and the role of the new bank capital...

This study highlights the differences in performance of commercial banks operating in Pakistan in the context of credit portfolio management. Specifically, we look at their credit allocation policies and outcomes in the shape of nonperforming loans (NPLs). We categorize a sample of 34 banks into...

We examine the roles of information sharing, strength of legal rights and bank size on the procyclical effect of bank loan loss provisions in an emerging Asian market context. Based on a sample of Asian banks from 11 countries over the 2002-2012 period, our empirical results indicate that higher...

The goal of this paper is to explore the relationship between the specific non-performing loan ratio (NPL ratio) and the corresponding impact on the bank's profitability and lending behavior. It also seeks to investigate the macroeconomic impacts of economies with excessively high NPL ratios as...

We empirically investigate the effect that relationship lending has on the availability and pricing of interbank liquidity. Our analysis is based on a daily panel of unsecured overnight loans between 1,079 distinct German bank pairs from March 2006 to November 2007, a period that includes the...