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

  • KUKE and Wiserfunding partners

    25 January 2024

    KUKE selects Wiserfunding to digitise risk assessments

    KUKE, Poland’s Export Credit Agency and a leading supplier of trade-facilitating solutions, has selected Wiserfunding, a frontrunner in business credit [...]

  • 3 November 2023

    Unlocking new opportunities for SME lending in the GCC

    Although the current numbers of SME employees in the GCC may be far below global averages, the ambition is not. [...]

  • 11 October 2023

    The role of Capital Markets in supporting SMEs funding in the LAC region

    Wiserfunding's most recent blog post discusses our founders most recent study, sponsored by the Inter-American Development Bank, on how capital [...]