This paper analyses the impact of various assumptions about the association between aggregate default probabilities and the loss given default on bank loans and corporate bonds, and seeks to empirically explain this critical relationship. Moreover, it simulates the effects of this relationship on the procyclicality of mandatory capital requirements like those proposed in 2001 by the Basel Committee on Banking Supervision. We present the analysis and results in four distinct sections.

SIMILAR POSTS

  • 7 February 2024

    Revolutionising SME credit risk assessment with Wiserfunding and KUKE partnership

    In a groundbreaking move that promises to redefine the landscape of SME credit risk assessment, the partnership between KUKE and [...]

  • 7 February 2024

    The future of export credit: Leveraging tech & intelligence for better risk assessment

    The landscape of export credit, a critical component of global trade, is undergoing a transformative shift. This change is driven [...]

  • 2 February 2024

    Balancing risk and opportunity in a globalised world

    At the heart of international trade and economic growth, Export Credit Agencies (ECAs) are more than just institutions; they're the [...]