A deep understanding of the drivers of credit risk is valuable for financial institutions as well as for regulators from multiple viewpoints. The systemic component of credit risk drives losses across portfolios and thus poses a threat to financial stability. Traditional approaches consider...

With the financial crisis spreading to the real economy, the discussion about potential procyclical implications of Basel II received a surge of attention. While existing research approaches the topic either from a theoretical perspective or from an empirical perspective that draws on simulated...