15-050/III - Cyclicality in Losses on Bank Loans

• Authors
  Bart Keijsers, Erasmus University Rotterdam, the Netherlands; Bart Diris, Erasmus University Rotterdam, the Netherlands; Erik Kole, Erasmus University Rotterdam, the Netherlands
• Publication date
  May 4, 2015

• Keywords
  Loss-given-default, default rates, credit risk, capital requirements, dynamic factor models
• JEL
  C32, C58, G21, G33