through diversification. In recent years, the development of markets for credit securitization and credit derivatives has … are quite severe. A potential successful application of credit securitization and credit derivatives for managing credit …Banks increasingly recognize the need to measure and manage the credit risk of their loans on a portfolio basis. We …

Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply risk …-taking is physiological, as for a lot of human activities. Among risks related to credit inter-mediation, credit risk assumes …

replicate the optimal contract. The sponsor provides an internal credit enhancement out of the proceeds of the sale and extends … elapses with no losses occurring. Rather than being detrimental, well-designed securitization seems an effective means of …

A growing literature exploits credit score cutoff rules used by mortgage lenders as a natural experiment to estimate … the moral hazard effect of securitization on underwriting. This research design is premised on the assumption that these … cutoff rules are a response by lenders to securitization rules of thumb. We reexamine the evidence and find it is …

of credit markets and weakened the natural asset transformation function performed by financial intermediaries for … securitization is conducive to the optimal hedging of bank interest rate risk, with this being of particular relevance in the current … economic and monetary conditions. The empirical results reported in this work suggest that banks resorting to securitization do …

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

gains and losses on the liabilities attributable to changes in the banks' own credit risk, referred to as the debt valuation …

credit register from Spain, with the time of a loan application and its granting. When VIX is lower (booms), banks shorten …

The Current Expected Credit Loss (CECL) framework represents a new approach for calculating the allowance for credit … losses. Credit cards are the most common form of revolving consumer credit and are likely to present conceptual and modeling … challenges during CECL implementation. We look back at nine years of account level credit card data, starting with 2008, over a …