) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if … cooperative banks. In the second part we measure the overall effect of better monitoring and the associated higher sectoral credit … concentrations on the credit risk of the portfolio. Our empirical results suggest that specialization benefits overcompensate the …

interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on … lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …

in the pricing of credit risk and the measurement of bank profitability and solvency. Basel II Advance IRB Approach …

This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and … credit growth broken down by sector. The use of these models enables the stress tests to be linked to the CNB's official … of credit risk for individual sectors. Based on the analysis, an answer is sought to the question of whether the observed …

behavior and risk sensitivity of a risk-neutral bank. The bank is exposed to credit risk and may use credit default swaps (CDS … trading is found to interact with the former effect when regulation accepts CDS as an instrument to mitigate credit risk … exposure to credit risk conditional on the CDS price being downward biased, unbiased or upward biased. This interaction …

For the sixth time, international academics and practitioners met for a successful credit risk conference. Keynote …, credit ratings and risk analysis. Digitization also leaves its mark in this area and requires, to varying degrees, a …

availability of credit to small businesses which has been further fueled by empirical studies that partly confirm a reduction in …