developments in banks’ balance sheets, profitability and risk-bearing capacity and analyses their relevance for monetary policy. We …As the euro area has a predominantly bank-based financial system, changes in the composition and strength of banks …

Private debt owed to banks and other financial institutions has been at unprecedented high levels. This paper studies … increased risk that they encounter a sharp fall in their wages. People who tend to be particularly affected are the low … measures that aim to avoid credit overexpansion are two policies that can improve the links of private debt with labour income …

We analyze the stability of efficiency rankings of German universal banks between 1993 and 2004. First, we estimate … different risk preferences and measure efficiency with a structural model based on utility maximization. Using the almost ideal … demand system, we estimate input and profit demand functions to obtain proxies for expected return and risk. Efficiency is …

management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial … heterogeneity in the balance sheet characteristics that affect banks' responses to liquidity risk. Overall, balance sheet …Activities of international banks have been at the core of discussions on the causes and effects of the international …

management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial … heterogeneity in the balance sheet characteristics that affect banks’ responses to liquidity risk. Overall, bank balance sheet …Activities of international banks have been at the core of discussions on the causes and effects of the international …

management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial … heterogeneity in the balance sheet characteristics that affect banks' responses to liquidity risk. Overall, balance sheet …Activities of international banks have been at the core of discussions on the causes and effects of the international …

management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial … heterogeneity in the balance sheet characteristics that affect banks' responses to liquidity risk. Overall, bank balance sheet …Activities of international banks have been at the core of discussions on the causes and effects of the international …

This paper considers a simple model of credit risk and derives the limit distribution of losses under different … through active credit portfolio management. However, if the firm risk exposures are draws from different parameter … unexpected loss or value-at-risk. The theoretical results are confirmed empirically using returns and credit ratings for firms in …

I develop methods that produce consistent estimates of the Vasicek-Basel IRB (VAIRB) credit risk model parameters. I …-rated credits. I use estimates of the VAIRB error distribution to construct capital allocations for model risk and find that the … capital buffers for model risk are substantial, especially for lower-graded credits. VAIRB common factor estimates exhibit …

-Scholes, and the second one involves credit risk modeling by means of jump to default stock dynamics …