This paper is the first to assess the Troubled Asset Relief Program (TARP) at loan level by looking at the structure of loan syndicates. While the purpose of TARP was to stimulate the flow of credit during the economic downturn, the low cost of capital could have functioned as a double-edged...

This paper argues that first passage time models are likely to better than affine hazard rate models in modelling stressed credit markets and confirms their superior performance in explaining the behavior of Credit Default Swap rates for the major US banking groups over the period of the...

We put our hypothesis very straightforward, considering the euro area and the whole European Economic and Monetary Union (EMU) banking sector. The paper's central hypothesis that capital adequacy of the EMU banking sector influenced credit growth and activities in the nonfinancial sector was...

A portfolio of nonperforming loans requires economic capital. We present two models for forecasting the portfolio loss and its probability distribution. In the first model, the loss for each nonperforming loan entails a change in provision over the risk horizon. The risk determinants are the...