Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...

In the last decade, stress tests have become indispensable in bank risk management which has led to significantly increased requirements for stress tests for banks and regulators. Although the complexity of stress testing frameworks has been enhanced considerably over the course of the last few...

Financial bubbles have been present in the history of financial markets from the early days up to the modern age. An asset is said to exhibit a bubble when its market value exceeds its fundamental valuation. Although this phenomenon has been thoroughly studied in the economic literature, a...