The Basel Accords, while extremely influential, are oftentimes too detailed and technical to be easily accessible to the nontechnical policymaker or interested scholar. This paper looks to fill that gap by detailing the origin, regulation, implementation, criticism, and results of both Basel I...

This paper looks at the macroeconomic impact of the two policies proposed by ECB Banking Supervision to tackle the high share of non-performing loans (NPLs) on the balance sheets of euro area banks. The first is the coverage expectations for new NPLs set out in the Addendum to the ECB's NPL...

Starting from the mid-2000s, Poland experienced a period of rapid growth in mortgage lending, with banks offering foreign-currency, high-LTV housing loans, which exposed the sector to rising credit risk and funding challenges. Later, a surge in consumer lending led to a threat of rising credit...

Measures of Sovereign and Bank Risk show occasional bouts of increased correlation, setting the stage for vicious and virtuous feedback loops. This paper models the macroeconomic phenomena underlying such bouts using CDS data for 10 euro-area countries. The results show that Sovereign Risk feeds...

We model a loop between sovereign and bank credit risk. A distressed financial sector induces government bailouts, whose cost leads to increased sovereign credit risk. Increased sovereign credit risk in turn weakens the financial sector by eroding the value of its government debt guarantees and...

This paper studies the impact of expectation of bailout of a credit insurance firm on the investment strategies of the counterparty banks. If the failure of credit insurance firm may result in the bankruptcy of its counterparty banks, then the regulator will be forced to bail it out. This...

This paper is based on the study of Hilscher and Raviv (2014) and Tan and Yang (2015) to investigate the effects of contingent capital, a debt instrument that automatically converts into equity if the value of the asset is below a predetermined threshold on the pricing process of a bank assets'....

The most recent global credit mishap of 2008, the worst financial catastrophe of the 21st century, succeeded the Great Depression of the 1930s as the worst event of all times, and used in stress testing under severely adverse scenario analysis. Rather promoting financial stability, the Basel...

We estimate the effects of the Federal Reserve’s Secondary Market Corporate Credit Facilities (SMCCF) on corporate bond market liquidity, yield, bond valuations and firm-level outcomes. Using comprehensive data on secondary market transactions in a diff-in-diff analysis, we find the SMCCF...

Roll rates and net flow rates can be seen as the evolution of ageing of accounts receivable and Markov chains. They are accepted methodologies to model the behavior of non-performing consumer loans by buckets and to predict losses, but we find that quite often they are wrongly used as...