that can be made to capture country-specific institutional features. The model uses bank portfolio data broken down by risk …We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic … conditions, and the regulatory environment. We use this model to simulate bank credit losses for stress-testing purposes and to …

investigate a specific type of externality that originates from those borrowers that obtain liquidity from more than one bank. In … this case, contagion may occur if a bank hit by a liquidity shock calls in some loans and borrowers then pay them back by …