traditional loan pricing model, this new proposed one, requiring lower loan interest rates from customers with higher credit … rating, while higher loan interest rates from customers with lower credit rating, could thus be able to provide higher risk …

Over the past decade, as a result of rapid growth of the loan portfolio and the financial crisis, importance of credit … process by various researchers and financial market participants. New regulations forced commercial banks to improve credit … value ratio, credit history and borrower's type (whether borrower receives income in that bank). Average prediction accuracy …

question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential …

question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential …

Our paper addresses firm size as a driver of systematic credit risk in loans to small and medium enterprises (SMEs … particularly rich and well developed credit market for SMEs in Germany. We estimate asset correlations as the key measure of …

"credit run"). A credit run affects the asset correlation, which is one of the main parameters in the Internal Ratings … correlation, which is a fundamental part of the theoretical foundation of the IRBA, but also shows that a credit run increases the …

While regulatory capital buffers are expected to be drawn to absorb losses and meet credit demand during crises, this …-cyclical behaviour to preserve capital ratios. By employing granular data from the credit register of the European System of Central … Banks, we isolate credit supply effects and find that banks with little headroom above regulatory buffers reduced their …

’ impact on lending cycles, controlling for other determinants of credit growth. We find robust empirical evidence that higher … credit growth and reduces the credit's decline if a systemic crisis materializes. Conversely, overly depleted bank capital … when entering a credit contraction period severely impacts lending (i.e., may bring about a deep credit crunch), with …