estimates. -- Credit risk ; Bank loans ; Loss given default ; Forecasting …

We study the relation between the credit cycle and macro-economic fundamentals in an intensity-based framework. Using … the credit cycle from the micro rating data. We relate this cycle to the business cycle, bank lending conditions, and … financial market variables. In line with earlier studies, these variables appear to explain part of the credit cycle. As our …

Banks increasingly recognize the need to measure and manage the credit risk of their loans on a portfolio basis. We … for banks to systematically identify regional and industrial credit concentrations and reduce the detected concentrations … through diversification. In recent years, the development of markets for credit securitization and credit derivatives has …