results suggest that by combining collateral appropriately with interest rate, borrowers with different risk levels are … separated: high-risk borrowers accept loans without collateral and with high interest rates, whereas low-risk borrowers accept … practice of screening borrowers by risk level has become a paramount consideration for both lenders and firms. This paper …

requirements are refined by adding a risk correction term that takes into account the interdependencies of the risks of different …

We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by … adjusted Expected Shortfalls quantify risk as the minimum amount of capital that has to be raised and injected into a financial … probability level p\in[0,1]. Through the choice of the benchmark risk profile g one can tailor the risk assessment to the specific …

In this paper, we explore whether economic uncertainty differently affects the default risk of Islamic and conventional … uncertainty increases the default risk of conventional banks but does not affect Islamic banks’ default risk. To understand why … banks’ default risk is not significantly affected by uncertainty in all types of countries, but such a difference with …

credit risk amid greater uncertainty. These adverse impacts of uncertainty on bank lending (both quantity and quality) are …

We study theoretically and empirically the demand for micro-credit under different liability arrangements and risk …-liability loans when risk-averse borrowers value their long-term relationship with the lender. Joint liability then offers a way to … diversify risk and to reduce the chance of losing access to future loans. We also show that the demand for loans depends …

This paper analyses the exposure to climate risk of ABS, an asset class frequently pledged as collateral in the … and Medium Enterprises (SMEs) and explores ways to measure their climate risk based on the characteristics of the … computation of ABS climate related risk proxies. Without necessarily being able to measure a concrete impact, we carved a series …

We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk …-taking. News implying that a hedge is likely to be loss-making undermines the risk-prevention incentives of the protection seller …. This incentive problem limits the capacity to share risks and generates endogenous counterparty risk. Optimal hedging can …

Derivatives activity, motivated by risk-sharing, can breed risk-taking. Bad news about the risk of the asset underlying … the derivative increases the expected liability of a protection seller and undermines her risk-prevention incentives. This … limits risk-sharing, and may create endogenous counterparty risk and contagion from news about the hedged risk to the balance …