This study examines the relationship between funding liquidity and bank risk taking. Using
quarterly data for US bank holding companies from 1986 to 2014, we find evidence that …

A major topic in retail lending is the measurement of the inherent portfolio credit risk. The
needs for a better understanding and dealing with default risky securities have been reinforced …

… Moreover, we define the absolute and relative cumulative frequency H(x) and F(x) for each
value x as the number or relative frequency of values being at most equal to x (ie, being equal …

This paper shows that the revised loan loss provisioning based on the International Financial
Reporting Standards (IFRS) and the US Generally Accepted Accounting Principles (GAAP) …

There is a current controversy concerning the appropriate size of banks’ capital requirements,
and the trade-off between the costs and benefits of implementing higher capital …

This paper provides evidence for the relationship between credit quality, recovery rate, and
correlation. The paper finds that rating grade, rating shift, and macroeconomic factors provide …

This paper explores alternative forecast approaches for mortgage credit risk for forward
periods of up to seven years. Using data from US prime mortgage loans from 2000 to 2016, we …

This paper offers a joint estimation approach for forecasting probabilities of default and loss
rates given default in the presence of selection. The approach accommodates fixed and …

Banks face the challenge of forecasting losses and loss distributions in relation to their credit
risk exposures. Most banks choose a modular approach in line with the current proposals of …

This empirical paper addresses the gap between the theoretically well-understood impact of
systematic risk on the loss-distribution of a credit-risky loan portfolio and the lack of …