banks using a non-parametric Monte Carlo re-sampling method following Carey [1998]. Our results are based on a panel data … set containing both loan and internal rating data from the banks complete business loan portfolios over the period 1997 … businesses in the sample is rated by both banks, we can generate loss distributions for SME, retail and corporate credit …

been given a central role. Although much research has been done on external ratings, much less is known about banks … the complete business loan portfolios of two Swedish banks and a credit bureau over the period 1997-2000. We study rating … portfolio with identical counterparts, substantial differences in the implied riskiness between banks. Such differences could …

been given a central role. Although much research has been done on external ratings, much less is known about banks … the complete business loan portfolios of two Swedish banks and a credit bureau over the period 1997-2000. We study rating … portfolio with identical counterparts, substantial differences in the implied riskiness between banks. Such differences could …

banks using a non-parametric Monte Carlo re-sampling method following Carey [1998]. Our results are based on a panel data … set containing both loan and internal rating data from the banks' complete business loan portfolios over the period 1997 … businesses in the sample is rated by both banks, we can generate loss distributions for SME, retail and corporate credit …

banks using a non-parametric Monte Carlo re-sampling method following Carey [1998]. Our results are based on a panel data … set containing both loan and internal rating data from the banks’ complete business loan portfolios over the period 1997 … businesses in the sample is rated by both banks, we can generate loss distributions for SME, retail and corporate credit …

). Key contributions are the use of a unique data set of SME lending by over 400 German banks and relating systematic risk to …

M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital … systemic impact. A test run using a sample of 12 systemically important German banks provides measures for systemic credit risk … and the banks' contributions to it in both baseline and stress scenarios. Capital requirements calibrated to the results …

into a clear economic interpretation. In this paper, we use detailed data from Italian banks to show how to extract from … reliability but also simplifying the comparison among different banks. We apply the proposed approach exploiting some data sources … banks, the empirical results obtained are meant just to provide a practical example. …

conservatism to cover possible underestimation in capital. Notwithstanding this requirement, to date, a solution shared by banks … default and not the estimation of the asset correlation given that, in practice, banks are not allowed to modify this …