Foreign currency loans to the unhedged non-banking sector are remarkably prevalent in Europe and create a significant exchange-rate-induced credit risk to European banking sectors. In particular, Swiss franc (CHF)-denominated loans, popular in Eastern European countries, could trigger...

Using a unique data set on companies' defaults provided by a consortium of 31 banks, this paper gives new insights into the determinants of the workout-loss-given-default (W-LGD): losses based on the cash flows observed between the default and the resolution times.As between 1997 and 2010, 18%...

I examine the behaviour of non-performing loans in European systemic and non-systemic banks. The distinction between systemic banks (GSIBs) and non-systemic banks (non GSIBs) is driven by policy reasons. The findings reveal that more profitable banks witness higher non-performing loans...

I investigate whether bank exposures to sovereign debt during the European debt crisis affected the real economy. I show a shock to the marked-to-market (MTM) value of bank exposures to sovereign debt led to credit tightening in 2010–2011 that had negative real effects on small and young...