announcements. Our findings appear to be more pronounced for firms with more information asymmetry, lower credit ratings and loans …

In line with regulations and common risk management practice, the credit risk of a portfolio is managed via its … manage their risks.Due to the growth of credit valuation adjustment (CVA) computations, and the similarity of CVA … computations to exposure computations, firms find it expedient to compute these exposures under the risk neutral measure.Here we …

extension risk. Under the new regulatory Basel III framework, CoCo bonds can be categorised as either belonging to the …. At that time, banks issued callable bonds with a coupon-step up after the first call date. These bonds were categorised … extension risk into a valuation method for CoCo bonds …

Keeping in view that the roles of portfolio risk and the relationship between different risky lending assets in loan … valuation have not been studied empirically, this study examines the relationship between undiversiable portfolio risk and … portfolio lending with an attempt to fill the gap between the concept of portfolio risk diversification and the practice of …

Risk (VaR) framework for the market risk capital of bank trading books. While the new rule boosts capital standards, the … capital requirement seems overly burdensome and not sufficiently responsive to market dynamics. It also increases model risk … and opaqueness of capital estimates. Chaudhury (2011) recently reported that the extreme tail risk of US stock portfolios …

capture differences in credit market integration by variations in the cost for banks to grant credit for cross …This paper shows that currency arrangements impact on credit available through default incentives. To this end we build … a symmetric two-country model with money and imperfect credit market integration. With the Euro Area context in mind, we …

We show that credit supply shocks have a strong impact on firm-level as well as aggregate investment by applying the … one banking relationship as long as they account for only a small share of the total loan volume of their banks. The …

. We develop a repeated game in which banks come across each other frequently, allowing them to threaten a punishment in … case of free riding. As the number of lending banks grows, the chance of meeting again a bank and of being punished for … restructuring probability increases with the number of banks up to a threshold - three banks - beyond which coordination problems …

We explore the structural drivers of bank and nonbank credit cycles using an estimated medium-scale macro model that … potentially drive bank and nonbank credit growth. We find that sectoral shocks affecting the balance sheets of entrepreneurs who … borrow from the financial sector are important for the business cycle frequency fluctuations in bank and nonbank credit …

Can banks trade credit default swaps (CDSs) referenced on their current corporate clients at competitive prices, or are … banks penalized for potentially holding private information? To answer this question we merge CDS trades reported under the … that the same dealer offers to banks and to other investors. We find that banks lending to a corporation purchase CDSs on …