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 …

The present study examines political roots of bank and sovereign default risk co-movements for banks in Europe and the … levels of Economic Policy Uncertainty are found to intensify the dynamic correlation of sovereign and bank default risk …. Utilizing the 2018's parliament election in Italy as a specific policy uncertainty shock, correlation increases of 25%-35% are …

of risk in credit risk modeling can generate better explanations for firm's credit risks in the real world. Based on …

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

Did the increase in counterparty risk perception in the interbank market since autumn 2007 contribute to the severe …