methodology and components of the IRB Approach used to determine capital requirements for credit risk. Such an approach, which … the IRB approach do not impinge upon or undermine banks' well-established lending and credit risk management practices …

This work empirically examines six structural models of the term structure of credit risk spreads: Merton (1974 … dynamic term structure of firm-specific credit spreads, thereby providing a pure test of model specification. The models are … implemented by adapting the method of Duffee (1999) to structural credit models, thereby treating the capital structure process is …

This paper uses an exclusive proprietary data set of European Credit Derivatives and VIX markets, covering a sample of … 5 to 7 years, to study the nature of the theoretical link between credit risk and market risk, originally postulated in …

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

credit default swaps, another relatively new credit risk transfer vehicle. Financial institutions face five major risks … corporate debt obligations, credit risk encompasses default, credit spread, and rating downgrade risks. The most obvious way for …Several studies have reported how new credit risk transfer vehicles have made it easier to reallocate large amounts of …

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 …

by their de- fault probabilities, recovery rates and credit spreads. Each combina- tion offers protection against default …This paper analyzes how combining firms into either groups or conglomerates affects their credit standing, as measured … to its affiliates, and issues debt to optimize the trade-off between tax gains and default costs. In a group, the …