In this study, we estimate the effect of industry distress on recovery rates by using the unconditional quantile regression (UQR) proposed in Firpo, Fortin, and Lemieux (2009). The UQR provides better interpretative and thus policy-relevant information on the marginal effect of the covariates...

Based on unique data we show that macro variables, the default rate and loss given default of bank loans share common cyclical components. The innovation in our model is the distinction between loans with either severe or mild losses. The variation in the proportion of these two types drives the...

We investigate the interdependence of the default risk of several Eurozone countries (France, Germany, Italy, Ireland, Netherlands, Portugal, and Spain) and their domestic banks during the period June 2007 - May 2010, using daily credit default swaps (CDS). Bank bailout programs changed the...

Credit risk measurement remains a critical field of top priority in banking finance, directly implicated in the recent global financial crisis. This paper examines the dynamic linkages between credit risk migration due to rating shifts and prevailing macroeconomic conditions, reflected in...

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk transmission with short-, medium-, and long-term...

We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers to draw conclusions about system-wide risk transmission with short-, medium-, and long-term...

Fintechs are believed to help expand credit access to underserved consumers without taking on additional risk. We compare the performance efficiency of LendingClub's unsecured personal loans with similar loans originated by banks. Using stochastic frontier estimation, we decompose the observed...

In this paper, we analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loans. We prove that the average LGD's stress sensitivity depends on the portfolio's loan-to-value (LTV-)...