The Comovement between Sovereign and Bank Credit Risk During the Financial Crisis: The Case of the Euro Area

2012 ◽  
Author(s):  
Federico Nucera
Keyword(s):  
Financial Crisis ◽  
Credit Risk ◽  
Euro Area ◽  
Bank Credit

scholarly journals Measuring Financial Fragmentation in the Euro Area Corporate Bond Market

2018 ◽  
Vol 11 (4) ◽  
pp. 74 ◽  
Author(s):  
Guillaume Horny ◽  
Simone Manganelli ◽  
Benoit Mojon
Keyword(s):  
Financial Crisis ◽  
Credit Risk ◽  
Euro Area ◽  
Financial Integration ◽  
Corporate Bonds ◽  
Risk Premia ◽  
Corporate Bond ◽  
Corporate Bond Market ◽  
Big 4 ◽  
Market Fragmentation

This paper analyses the determinants of euro area non-financial corporate bonds since the early 2000s, so as to gauge deviations from the law of one price. We decompose the spread between the yield of German, French, Italian and Spanish corporate bonds vis-à-vis the German Bund of similar maturity into country, credit and duration risk premia components via dummy regressions. We highlight three main findings. First, the initial phase of the financial crisis (2008–2009) caused an overall increase in credit risk premia. Since the beginning of 2013 credit risk premia are back to levels comparable to those preceding the financial crisis. Second, at the height of the euro area sovereign crisis (2011–2012), high credit risk premia were accompanied by strong and persistent signs of market fragmentation in Italy and Spain (but not in France). This fragmentation has reached its peak in the second half of 2012 and has started to recede only after the announcement of the OMT. Third, we provide a simple measure of financial integration across the big 4 member states of the euro area.

scholarly journals Modeling of Bank Credit Risk Management Using the Cost Risk Model

2021 ◽  
Vol 14 (5) ◽  
pp. 211
Author(s):  
Iryna Yanenkova ◽  
Yuliia Nehoda ◽  
Svetlana Drobyazko ◽  
Andrii Zavhorodnii ◽  
Lyudmyla Berezovska
Keyword(s):  
Risk Management ◽  
Decision Support ◽  
Credit Risk ◽  
Risk Model ◽  
Bank Credit ◽  
Credit Risk Management ◽  
Loan Default ◽  
Increased Risk ◽  
Credit Portfolio ◽  
Cost Risk

This article deals with the issue of managing bank credit risk using a cost risk model. Modeling of bank credit risk management was proposed based on neural-cell technologies, which expand the possibilities of modeling complex objects and processes and provide high reliability of credit risk determination. The purpose of the article is to improve and develop methodical support and practical recommendations for reducing the level of risk based on the value-at-risk (VaR) methodology and its subsequent combination with methods of fuzzy programming and symbiotic methodical support. The model makes it possible to create decision support subsystems for nonperforming loan management based on the neuro-fuzzy approach. For this paper, economic and mathematical tools (based on the VaR methodology) were used, which made it possible to analyze and forecast the dynamics of overdue payment; assess the quality of the credit portfolio of the bank; determine possible trends in bank development. A scientific and practical approach is taken to assess and forecast the degree of credit problematicity by qualitative criteria using a mathematical model based on a fuzzy technology, which can forecast the increased risk of loan default at an early stage in the process of monitoring the loan portfolio and model forecasting changes in the degree of credit problematicity on change of indicators. A methodology is proposed for the analysis and forecasting of indicators of troubled loan debt, which should be implemented as software and included in the decision support system during the process of monitoring the risk of the bank’s credit portfolio.

Bank credit risk events and peers' equity value

2021 ◽  
Vol 75 ◽  
pp. 101668
Author(s):  
Ana-Maria Fuertes ◽  
Maria-Dolores Robles
Keyword(s):  
Credit Risk ◽  
Bank Credit ◽  
Equity Value
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