methodology has been extended to credit risk and operational risk. This article reviews the benefits and limitations of these …

Several studies have reported how new credit risk transfer vehicles have made it easier to reallocate large amounts of … credit risk from the financial sector to the non-financial sector of the capital markets. In this article, we describe one of … these new credit risk transfer vehicles, the collateralized debt obligation. Synthetic credit debt obligations utilize …

Considering the importance of credit risk management to ensure the financial system stability, the paper presents … financial and real sector interaction highlighting that credit growth based on increase of credit demand, of income, of assets … or those I think that should be implemented in terms of improving credit risk management, implementation of regulatory …

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 …