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 …

The moral hazard incentives of the bank safety net predict that distressed banks take on more risk and higher leverage … include financial crises and are subject to different regulatory regimes (1985–1994, 2005–2014). We find that distressed banks …

Banks entering an emerging market face a lot of uncertainty about the risks involved in lending. We use a unique …

Russian banks have been strongly influenced by the worldwide financial crisis which started in the second half of 2008 … the Russian crisis. We identified 47 Russian banks which failed after September 2008. Using the Bankscope data set, we … show that balance sheet indicators were informative about possible failures of these banks as early as 2006. The early …

characteristics and macroeconomic or time effects. By linking estimated firms' PDs with all their relations to banks we find that … crisis banks kept riskier borrowers in higher credit grades. This could be due to additional borrower-related information … that banks take into consideration in assessing borrowers' riskiness, to the lags in reclassification process or a possible …