conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to … that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk … economic cycles. This feature facilitates a timely assessment of banks' loss-absorbing capacity and the buildup of systemic …

offset if drawdowns are expected to be left on deposit at the same bank, which happened at some of the largest banks during … bank funding costs. We show that credit supply is dampened by the associated debtoverhang cost to bank shareholders. Until …