main risk components, the Probability of Default (PD) and the Loss Given Default (LGD) have been the subject of greater …

In the wake of the financial crisis, policymakers expressed the concern that banks’ use of the incurred loss model … current expected credit loss (CECL) approach starting in 2020. Contrary to this concern, we hypothesize and find that banks … recorded large initial CECL adoption impacts). We also find that adopting banks increased their loan loss provisions during the …

integration on the transmission of economic shocks from one country to another and consequently on the sensitivity of loan loss …

Asset encumbrance is a central concept in the context of banks’ liquidity crises, as it is associated with their … describe how asset encumbrance has evolved in euro area banks, focusing on country and business model aggregates. Second, we … conduct an econometric analysis of the driving factors of banks’ asset encumbrance, highlighting the relevance of credit risk …

We use a unique dataset of ratings for euro area corporate loans from commercial banks’ internal rating-based (IRBs …) systems and central banks’ in-house credit assessment systems (ICASs) to investigate whether banks’ IRB ratings underestimate … to ICASs can be partly explained by banks’ liquidity constraints, but not by their degree of capitalisation. Overall, our …

-to-market and the fair value loss to be recognized in earnings, a capital-constrained firm can improve its capital position by …

is the greatest threat to the orderly functioning of a bank. To protect against its materialization banks spend nearly 90 … banks in Poland in 2008-2013 indicates that banks should assign additional 4% and 2% of the capital requirement to cover the … risk of exposure concentrations in: respectively, individual entities and individual economic sectors. For banks with a …

Cooperative Credit Banks, who adopt more efficient lending policies. …

In this paper, we search for evidence of a reversal rate in monetary policy based on a sample of Danish banks. Our … changed. Moreover, we do not find support for the hypothesis that in a negative rate environment banks with a higher deposit … share respond less to cuts in the policy interest rate or experience lower lending growth than other banks. We find that the …