Micro, Small and Medium Enterprises (MSMEs) have been identified as the catalyst for the economic growth of a country. They are a major source of income and employment and consequently poverty reduction. Small and Medium Enterprises (SMEs) contributed 49% of Ghana's GDP in 2012 which impact...

We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze lending behavior and risk sensitivity of a risk-neutral bank. The bank is exposed to credit risk and may use credit default swaps (CDS) for hedging purposes. Regulation is found to induce...

The new Basel II regulation contains a number of new regulatory features. Most importantly, internal ratings will be given a central role in the evaluation of the riskiness of bank loans. Another novelty is that retail credit and loans to small and medium-sized enterprises will receive a special...

Counterpart risk rating is at the heart of the banking business. In the new Basel II regulation, internal ratings have been given a central role. Although much research has been done on external ratings, much less is known about banks´ internal ratings. This paper presents new quantitative...

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...

This paper analyzes the impact of US firms' equity risk on bank lending standards and on the macroeconomy for two groups: small and medium-large firms. The results indicate that a higher level of firm risk leads to a higher percentage of banks tightening their lending standards on commercial and...

This paper analyzes the macroeconomic and borrower-specific credit risk factors of residential real estate mortgages in Germany. Relying on a macroeconomic panel VAR model, we show a significant link between foreclosures, house price dynamics and unemployment. Using microeconomic regressions, we...

The main objective of this article is to define which macroeconomic and accounting factors determine loan quality, hence credit risk, in Eurozone. Non Performing Loans, Loan Loss Provisions and Loan Loss Reserves are used as proxies for loan portfolio quality. Through dynamic regression...