In this paper, we study the determinants of credit risk in the Greek banking sector. Credit risk is related to bank asset quality and considered responsible for bank failures. In this context, we investigate how loan quality can be explained by accounting and macroeconomic factors. Aggregate...

Credit risk in financial institutions has been widely debated among experts and legislators as a substantial risk to the financial industry's health. In addition to examining bank-specific and macroeconomic reasons, the study examines the impacts of political institutions and macroprudential...

Liquidity backstops have important implications for financial stability. In this paper, we provide a microfoundation for the important role of liquidity backstops in mitigating runs (or, conversely, the role of the lack of liquidity backstops in exacerbating runs) based on a dynamic model of...

This paper analyzes the effect of the removal of government guarantees on bank risk taking. We exploit the removal of guarantees for German Landesbanken which results in lower credit ratings, higher funding costs, and a loss in franchise value. This removal was announced in 2001, but...

This paper analyzes the effect of the removal of government guarantees on bank risk taking. We exploit the removal of guarantees for German Landesbanken which results in lower credit ratings, higher funding costs, and a loss in franchise value. This removal was announced in 2001, but...

In this paper, we study the determinants of credit risk in the Greek banking sector. Credit risk is related to bank asset quality and considered responsible for bank failures. In this context, we investigate how loan quality can be explained by accounting and macroeconomic factors. Aggregate...

Credit default swaps ("CDSs") were widely blamed as a primary cause of the recent financial crisis; CDSs fomented panic as the price of credit protection spiked and contributed to the Federal Reserve's decision to bail out American International Group. To reduce the likelihood that credit...

Changes in value of a plain vanilla bond are largely due to the fluctuations of default-free yields (hereinafter referred to as risk-free rates) and to the dynamics of the credit spread required for protection against the borrower's insolvency.In most common financial asset evaluation...

The growth of the shadow banking system has allowed credit risk to grow outside the purview of traditional bank regulation. Despite lacking relevant information and control over shadow banks, the magnitude of the recent financial crisis required the Federal Reserve to backstop their activities....

The recent problems in the financial sector suggest that various types of loans present different types of risk over and above the normal charge-offs. This paper examines the risk associated with post-merger variability in the charge-off rate and the non-performing loan rate, and the...