The debate over the potential procyclicality of bank capital requirements under Basel II has
focused overwhelmingly on peak-to-trough variation in minimum regulatory requirements. In …

We use a one-factor credit risk model to provide new estimates of stationary default
probabilities and asset correlations in two large samples of French and German Small and …

Rischio e valore nelle banche Page 1 Resti • Sironi Risch L m g in d n p r A s t È c r a r c z d I r
E t r c m 2 l’ z t c m Rischio e valore nelle banche Rischio e valore nelle banche Misura …

Using a Merton model framework (consistent with Basel II formulas), we develop a
methodology for point-in-time (PIT) and through-the-cycle (TTC) probability of default (PD) …

A common problem in credit risk management is the estimation of probabilities of rare
default events in high investment grades, when sufficient default data are not available. In …

We examine investor behavior on a leading peer-to-business lending platform and identify
an investment mistake that we refer to as default shock bias. First, we find that investors stop …

This paper tests the ability of the regulatory capital requirement to cover credit losses at
default, as carried out by the economic (optimal) capital requirement in Tunisian banks. The …

Purpose This analysis asks whether regulatory capital requirements capture differences in
systematic risk for large firms and micro-, small-and medium-sized enterprises (MSMEs) …

We study portfolio credit risk management using factor models, with a focus on optimal
portfolio selection based on the tradeoff of expected return and credit risk. We begin with a …

Credit risk arises from the interaction of multiple connected factors, but the most frequently-
used models designed to measure it assume only one. These models—which, inter alia, fit …