We review the main changes in the interbank market after the financial crisis started in August 2007. In particular, we … of these effects based on the consideration of credit and liquidity variables. Then, we focus our attention on the …

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

The ultimate point of origin of the great financial crisis of 2007-2009 can be traced back to an extremely indebted US … economy. The collapse of the real estate market in 2006 was the close point of origin of the crisis. The failure rates of … subprime mortgages were the first symptom of a credit boom tuned to bust and of a real estate shock. But large default rates on …

implications of the credit boom-and-bust hypothesis, supplemented with asymmetric information, are consistent with the onset and … development of many crises, including the current subprime crisis. Governments have reacted to crises by erecting a vast and … supervision. The unwinding of the current crisis will mark a big enlargement of the safety net and moral hazard, as well as a …

on the ability of a variety of indicators, including the credit ratings, to anticipate crises and characterize the extent …

creation in deposit-taking institutions implies debt creation. The analysis is that self-amortizing credit to the real sector … sector so led to the growth of debt since the 1980s and onto the credit crisis. Turning to the behavioral aspects of credit …This paper probes the role of banks and credit in our socio-economic system using the metaphor of banks as social …