The main objective of this study is to analyze the type of relationship that exists between liquidity risk - measured with the liquidity coverage ratio and the net stable funding ratio - and the probability of default. The sample is composed of 575 listed and non-listed Eurozone banks and the...

The Basel III capital accord of 2010 is subject to further evaluation and revisions. The industry refers to these changes as “Basel IV” in view of the expected significant impact that the further proposals of the Basel Committee may have. The Committee itself considers the various proposals...

This study extends the literature on the determinants of NPL. I investigate whether banks anticipate non-performing loans by making balance sheet adjustments. This study draws insights into the actions taken by credit risk management teams and bank managers to minimize the size of non-performing...

Stress tests have become an important component of the supervisory toolkit. However, the extent of disclosure of stress-test results remains controversial. We argue that while stress tests uncover unique information to outsiders – because banks operate in second-best environments with multiple...

This paper explains how unobserved borrower risk factors and changing economic expectations can interact to create vintage effects and parameter instability in mortgage credit risk models. We develop a model of mortgage choice and default behavior that demonstrates how this could have led to...

We investigate how the availability of traded credit default swaps (CDSs) affects the referenced firms' voluntary disclosure choices. CDSs enable lenders to hedge their credit risk exposure, weakening their incentives to monitor borrowers. We predict that reduced lender monitoring in turn leads...

This paper applies dynamic panel estimates on 22 commercial banks in Pakistan to determine the factors that affect their asset quality. Consequently, the study tests for a comprehensive array of both bank-specific and macroeconomic variables collected quarterly from 2008 to 2016. The empirical...

This paper proposes a model in which the borrower credit risk is associated with the cash flow method to assess the economic value of a consumer credit portfolio. A Monte Carlo simulation applying the method in an illustrative loan reveals that the lending standards of the institution, captured...

This study aims to empirically examine the impact of managerial effectiveness on the creditrisk of the Indian public and private sector banks. We consider the return on assets as aproxy for managerial effectiveness and gross non-performing assets (GNPA) to totaladvances as a proxy for credit...

Corporate credit lines are drawn more heavily when funding markets are more stressed. This covariance elevates expected bank funding costs. We show that credit supply is dampened by the associated debtoverhang cost to bank shareholders. Until 2022, this impact was reduced by linking the interest...