The credit risk that an individual bank poses to the rest of the financial system depends on its size, the type of exposures it has to the real economy, and its obligations to other institutions. This paper describes a system-wide risk management approach to calibrating individual banks' capital...

A continuous-time deterministic model for analytical simulation of impact of the change in yield curve on bank's interest income from a fixed rate loans portfolio is presented. It is considered both differential and integral presentations of equations for dynamics of principal and interest cash...

Recently, banking literature has had a quest for appropriate pricing of bank loans under the new Basel II rules and has been in pursuit of possible outcomes for undertaking such credit risk. In this paper, we propose a simplified formula to price bank's corporate loans, aiming at making bank...

The traditional loans pricing methods are usually based on risk measures of individual loan's characteristics without considering the correlation between the defaults of different loans and the contribution of individual loans to the entire loan portfolio. In this study, using account-level...

To date, macroprudential policy inspired by the Basel III package is applied irrespective of the network characteristics of the banking system. We study how the implementation of macroprudential policy in the form of additional capital requirements conditional to systemic-risk measures of banks...

Our objective is to test-bed the new Expected Credit Loss (ECL) and Current Expected Credit Loss (CECL) models for bank credit loss accounting to identify the potential consequences of their implementation. In particular, whether and how ECL and CECL approaches could lead to divergence in credit...

This paper derives a closed form formula for value at risk (VaR) and expected shortfall (ES) under a widely used Merton type multi-factor model for a credit portfolio with guaranteed loans.Typically used Monte Carlo simulations tend to converge slowly when the default probabilities are low and...

Financial services for the poor have existed since early ages and have been evolving from simple transactions to the nowadays microfinance sophisticated products and complex markets. However, despite the steady progress of microfinance, many issues still need to be addressed, and the...

We study an economy with a high degree of financialization in which (non-financial) firms need loans from commercial banks to finance production, service debt, and make long-term investments. Along the business cycle, the economy follows Minskyan dynamics with firms traversing various stages of...

Default risk models have been widely employed to assess the ability of households and sovereigns to insure themselves against shocks. Grid search has often been used to solve these models because the complexity of the problem prevents the use of faster but less general methods. In this paper, we...