banking, in such a way that a credit must become again one of the most important banking products, where deposit interests … reached historical minimums. How will banks succeed to stimulate lending, by granting more loans securely, what is the range … of products and services under offer in this regard, how will banks succeed facing the new Basel III framework, these are …

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 …

Private debt owed to banks and other financial institutions has been at unprecedented high levels. This paper studies … increased risk that they encounter a sharp fall in their wages. People who tend to be particularly affected are the low … measures that aim to avoid credit overexpansion are two policies that can improve the links of private debt with labour income …

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or …. We consider individual as well as correlated credit risks. -- compensator ; intensity ; credit risk ; default risk … issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities …

plus a 3x6 months Forward Rate Agreement (FRA), and that Libor was a good proxy of the risk free rate required as basic … building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are … more equal than others, depending on their rate tenor, and classical formulas are history. Banks are not anymore “too big …

of these effects based on the consideration of credit and liquidity variables. Then, we focus our attention on the …

on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and the … terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners, based … recent market data comparing pre- and post-credit crunch pricing methodologies and showing the transition of the market …

, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and …We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we …-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners …

values.We incorporate RFV into an exogenous boundary structural credit risk model and compare its e ect to more typical … credit risk models.We show that some features of existing structural models are a result of the recovery form assumed in the …

We analyze the stability of efficiency rankings of German universal banks between 1993 and 2004. First, we estimate … different risk preferences and measure efficiency with a structural model based on utility maximization. Using the almost ideal … demand system, we estimate input and profit demand functions to obtain proxies for expected return and risk. Efficiency is …