allocation. Therefore, non-compliant loans can directly affect transaction performance and the extent of risk transfer achieved … tested and confirmed based on a unique data set. -- Non-compliance ; risk transfer ; securitization …

Excessive household borrowing has been identified as an important determinant of financial crises. Borrower …-based instruments to be evaluated ex ante. The simulation is based on microdata from the German Panel on Household Finances (PHF) and is …-macro consistent simulation approach can be used to detect vulnerabilities in household balance sheets and perform an ex ante analysis …

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 …

individual asset holding data of German banks. I find that banks operating with tight regulatory constraints exploit the low risk … with the highest yield and the lowest collateral performance among ABS with the same regulatory risk weight. This reaching …

securities with the highest yield and lowest collateral quality among ABS with the same regulatory risk weight. This ABS …

experiment to examine the effect of government guarantees on bank risk taking, using a large data set of matched bank …/borrower information. The results suggest that banks whose government guarantee was removed reduced credit risk by cutting off the riskiest … adjusted their liabilities away from risk-sensitive debt instruments after the removal of the guarantee, while we do not …

The parameter loss given default (LGD) of loans plays a crucial role for risk-based decision making of banks including … risk-adjusted pricing. Depending on the quality of the estimation of LGDs, banks can gain significant competitive advantage … estimates. -- Credit risk ; Bank loans ; Loss given default ; Forecasting …

experiment to examine the effect of government guarantees on bank risk taking. The results suggest that banks whose government … guarantee was removed reduced credit risk by cutting off the riskiest borrowers from credit. Using a difference … applicable. Furthermore, savings banks adjusted their liabilities away from risk-sensitive debt instruments after the removal of …