importance of bank liquidity risk management as a motivation for loan sales, in addition to the credit risk transfer motive …We examine the impact of banks' liquidity risk management on secondary loan sales. We track the dynamics of bank loan … share ownership in the secondary market using data from the Shared National Credit Program, a credit register of syndicated …

innovators most aggressively reduce within-bank credit risk during financial crises, whereas liability innovators respond by … increasing internal bank credit risk. In contrast, during non-crisis periods, the bank’s credit risk is positively related to its …When banks are confronted with systemic crises, some banks reduce the credit risk in their loan portfolios, whereas …

credit boom and bust cycles. Using a unique, hand-collected dataset on 156 banks from Central and Eastern Europe during 2005 …-2012, we assess whether banks with stronger risk management and corporate governance display more moderate credit growth in the … pre-crisis credit boom as well as a smaller credit contraction and fewer credit losses in the crisis period. With respect …

commercial bank, the authors choose Archimedean Copula to fit the default relationship between loans, combined with the loss … traditional loan pricing model, this new proposed one, requiring lower loan interest rates from customers with higher credit … rating, while higher loan interest rates from customers with lower credit rating, could thus be able to provide higher risk …

bank lending and risk-taking channels of monetary policy by exploiting – Italian's unique – credit and security registers …. In crisis times, with higher ECB liquidity, less capitalized banks react by increasing securities over credit supply …-crisis time, securities do not crowd-out credit supply. The substitution from lending to securities in crisis times helps less …

Can a major financial crisis trigger changes in a bank’s risk-taking behavior? Using the 2008 Global Financial Crisis … concerning credit risk is inconsistent with the learning hypothesis. On the other hand, the evidence concerning solvency risk is …, bank learning from a financial crisis may not depend on the institutional context and the level of development of national …

IFRS 9 substantially affects the financial sector by changing the impairment methodology for credit losses. This paper … analyzes the implications of the change from IAS 39 to IFRS 9 in the context of bank resilience. We shed light on two effects …. First, the "cliff-effect", which refers to sudden increases in impairments. It occurred under IAS 39, as credit losses were …

combine a credit risk stress test which simulates credit impairments via a CreditMetrics type multi-factor portfolio model … stress, while more than 6% of our sample's credit banks "fail" the stress test, mainly due to their lack of capital. The main … stress drivers prove to be credit impairments rather than other net income components. …

I develop a simple contract-theoretic model of multi-stage economies to address the nexus between trade credit, bank … credit and balance-sheet contagion. First, I show that competitive markets in which heterogeneous price-taker firms compete … strategically by setting trade credit settlements have a unique symmetric equilibrium, which dictates the production flow along the …

This paper studies optimal bank capital requirements in an economy where bank losses have financial spillovers. The … banks' financial distortions, which in turn increase with banks' credit risk. Higher capital requirements dampen the current … supply of banks' credit, but mitigate banks' future financial distortions. Capital requirements should be raised in response …