The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using … bailout policies have reduced solvency risk in the banking sector, but partly at the expense of raising the credit risk of … sovereigns. By contrast, monetary policy was in most, but not all cases effective in lowering credit risk among both sovereigns …

This paper analyzes how combining firms into either groups or conglomerates affects their credit standing, as measured … by their de- fault probabilities, recovery rates and credit spreads. Each combina- tion offers protection against default … of credit risk in groups. The dark side is that affiliation depletes the credit worthiness of the subsidiary. Such …

defaults allows the impact of loan modications on recovery rates to be modelled. Unlike other models of mortgage credit risk …

economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk …

This paper analyzes the pricing of issuer credit risk in retail structured products. After the default of Lehman … implicit “credit enhancement", i.e., if they do not feature a sufficiently high correlation of the promised payout and the … are not compensated for credit risk. As the default of Lehman Brothers has arguably sharpened investors' attention for …

context, to market and credit risks. We provide detailed application guidance of the method for market, credit, and …

, variance–covariance and copula approach. Firstly, the three popular approaches are adopted to aggregate credit risk, market …