question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential …

question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential …

estimates. -- Credit risk ; Bank loans ; Loss given default ; Forecasting …

the global over-the-counter (OTC) derivatives markets, where significant counterparty credit risk prevails. In this paper …, we deal with risk under Basel III banking regulation and provide credit valuation adjustment (CVA) modelling, which is a … measure of the market value of counterparty credit risk. We use simulated data to develop a stress test model to determine the …

We analyze the determinants of real estate and credit bubbles using a unique borrower-lender matched dataset on … mortgage loans in Spain. The dataset contain real estate credit and price conditions (loan principal and spread, and the … contract) and the lender identity, over the last credit boom and bust. We find that lending standards are softer in the boom …

parameters affect bank credit supply …

"credit run"). A credit run affects the asset correlation, which is one of the main parameters in the Internal Ratings … correlation, which is a fundamental part of the theoretical foundation of the IRBA, but also shows that a credit run increases the …