models in terms of correlation with actual bank losses and CDS spreads. The paper also shows how extreme measures can be used …

bank's socially desirable liquidity provision ex interim (social cost). Aiming to implement sound risk-taking, the …

The loan impairment rules recently introduced by IFRS 9 require banks to estimate their future credit losses by using … not apply IFRS 9 around this cut-off. This pattern is consistent with a strategic use of the increased reporting … introduction of IFRS 9 will likely also be associated with real economic effects. …

circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel …

expected loss model in IFRS 9. This study contributes to the extant literature by separately analyzing the cyclical effects of …

Bank regulators and academics have long conjectured the beneficial effects of smoothing in loan loss provisions (i ….e., making higher provisions during good times so as to avoid doing so during bad times) for bank lending and stability, while … emerging market crisis to capture an adverse supply shock to bank capital, we show, consistent with the bright-side, that …

Business cycles imply liquidity risks for banks. This paper explores how these risks influence bank lending over the … cycle. With forward-looking banks, lending cycles, credit booms and busts, or suppressed and highly fragile bank systems can … unpleasant effects on bank lending. Imposing countercyclical capital adequacy ratio may amplify procyclicality or result in …

quantity and the composition of bank lending. We find that credit supplied by banks that introduced the model-based approach …