banks using a non-parametric Monte Carlo re-sampling method following Carey [1998]. Our results are based on a panel data … set containing both loan and internal rating data from the banks' complete business loan portfolios over the period 1997 … businesses in the sample is rated by both banks, we can generate loss distributions for SME, retail and corporate credit …

been given a central role. Although much research has been done on external ratings, much less is known about banks … the complete business loan portfolios of two Swedish banks and a credit bureau over the period 1997-2000. We study rating … portfolio with identical counterparts, substantial differences in the implied riskiness between banks. Such differences could …

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 …

transforms existing financial claims against ultimate borrowers that have been originated by traditional banks. Based on … non-financial private sector had been originated by shadow banks. Consequently, dampening credit creation by the …

This paper investigates the incentives for banks to bias their internally generated risk estimates. We are able to … by low-capital banks to improve regulatory ratios. At the portfolio level, the difference in borrower probability of … credits. In addition, we find that low-capital banks' risk estimates have less explanatory power than those of high …

The determinants of default risk of banks in emerging economies have so far received inadequate attention in the … the economy. Public sector banks have shown significant performance in containing bad debts. Private banks have continued … banks, apart from other accepted determinants of profitability, asset size has no significant impact on profitability. …

the effect of entry threat on incumbent banks' loan loss provisions. Incumbents exposed to entry threat have offsetting …