stressed credit markets and confirms their superior performance in explaining the behavior of Credit Default Swap rates for the …

returns, we estimate the implicit government subsidy for each systemic risk measure, and find that, from 1963 to 2006, only … our big-versus-huge threshold size factor, TSIZE, implies a positive implicit subsidy on average. Further, pre-2007 TSIZE …

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

question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential …

While regulatory capital buffers are expected to be drawn to absorb losses and meet credit demand during crises, this …-cyclical behaviour to preserve capital ratios. By employing granular data from the credit register of the European System of Central … Banks, we isolate credit supply effects and find that banks with little headroom above regulatory buffers reduced their …

across credit, option, and equity markets. Our consumption-based equilibrium model captures the empirical level and … volatility of credit spreads, generates a flexible credit term structure and provides a good fi t to a century of observed … bond and equity market returns. Our model reveals a dynamic relationship between credit and option markets that helps …

the costs of banking regulation (and on the social value of making credit available to selected borrowers) incentivizes … steering of credit flows and most importantly the provision of an underpriced safety net for the banking business. However …