This paper empirically examines the determinants of margins for a unique dataset of 8,120 mortgage loans with fixed interest rates of a medium-sized Swiss bank over the period from 2000 to 2009. Our margin determinants include loan-specific factors, as well as external and bank-specific...

This paper shows how credit quality transition matrices of loans to Italian firms changed during a cyclical downturn (2008-09), compared with a time of growth (2006-07). Once transition matrices were linked to interest rates, banks appear to have been able at calibrating required risk premiums...

This paper shows how credit quality transition matrices of loans to Italian firms changed during a cyclical downturn (2008-09), compared with a previous time of growth (2006-07). Once transition matrices were linked to interest rates, banks appear to have been remarkably able at calibrating...

After August 2007 the plumbing system that supplied banks with wholesale funding, the interbank market, failed because toxic assets obstructed the pipes. Banks were forced to squeeze liquidity in a 'lemons market' or to ask for liquidity 'on tap' from central banks. This paper disentangles the...

We propose a new model for the valuation of loan commitments and some of their main features including the MAC (Material Adverse Change) clause. We employ a two-period contingent claim approach. The advantage of this approach is that it is based on rational economic considerations that are...

I provide empirical evidence that ratings are relevant determinants of interest rates in the overnight interbank market, even after controlling for other observable factors about credit risk and solvency in banks' balance sheets. I develop a multiperiod network model that exploits this feature...

The aim of this paper is twofold. Using the Eu-Silc database for seven European countries, we first analyse the frequency of households in arrears in repaying mortgages. By considering only households with mortgages, we uncover some new evidence compared to previous analyses. Although the shares...

The interplay between liquidity and credit risks in the interbank market is analyzed. Banks are hit by idiosyncratic random liquidity shocks. The market may also be hit by a bad news at a future date, implying the insolvency of some participants and creating a lemon problem; this may end up with...

Against the backdrop of a high stock of non-performing loans (NPLs) in several European countries, this paper investigates the role of NPLs for lending rates charged for newly granted loans in the euro area. More precisely, it looks for an effect that extends beyond losses caused by that stock...

We show that the liquidation value of collateral depends on who is pledging it. We employ transaction-level data on overnight repurchase agreements (repo) and loan-level credit registry data on corporate loans. We find that borrowers on the repo market pay a 2.6 basis points rate premium when...