estimates. -- Credit risk ; Bank loans ; Loss given default ; Forecasting …The parameter loss given default (LGD) of loans plays a crucial role for risk-based decision making of banks including …. For bank loans, the estimation is usually based on discounted recovery cash flows, leading to workout LGDs. In this paper …

then use the model to run a top-down stress test and simulate losses on the individual bank level for the years from 2018 … to 2020 for the whole German banking sector. Our results show that loss rates in the residential mortgage portfolios of …

, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has … risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …

Under a new Basel capital accord, bank regulators might use quantitative measures when evaluating the eligibility of …

Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the … failure of other banks not directly affected by the initial shock. Recent work in economic theory shows that this risk of … bilateral credit relationships for the German banking system and test whether the breakdown of a single bank can lead to …

vollständig eliminieren können. Die Zusammenbruch einer einzelnen Bank kann trotzdem zu einem Verlust von 15 % der Aktiva des …Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the … failure of other banks not directly affected by the initial shock. Recent work in economic theory shows that this risk of …

We studied information and interaction processes in six lending relationships between a universal bank and medium sized …, bank monitoring is based mainly on cheap, retrospective and internal data. In case of distress, more expensive, prospective … firm's investments might leave the bank in a very strong bargaining position and distort investment incentives. Therefore …