In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a … credit risk model - based on publicly available information - with the aim of developing a tool to monitor credit risk in a … sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk profiles across these …

Adam Smith's ideas about the invisible hand, was a major contribution to an ongoing tradition in monetary theory in whose …

important for credit risk management as well as for regulation and systemic risk management. In this paper, we use 1927-1997 U …

movements in default probabilities and default correlations. Our findings have important implications for portfolio credit risk … analysis. First, a static analysis of portfolio credit risk can underestimate credit risk significantly by not accounting for … without accounting for time variation may lead to misspecified risk management models. We highlight the main effects in an …

This paper represents a first attempt to study China’s business cycles using a formal analytical framework, namely, a …

aggregate risk with entrepreneurs, and therefore bear uncertainty in their loan portfolios. Unexpected aggregate shocks will …