Resolution of non-performing loans is a key determinant of bank credit default losses. This
paper analyzes macroeconomic and systematic frailty effects of the default resolution time …

Financial stability is indispensable for a robust economic system. However, the financial
system is exposed to systemic risk. Extensive cascade effects might expand initially financial …

This cumulative thesis contributes to the literature on credit risk modeling and focuses on
comovements of risk parameters that intensify losses during recessions. The models provide …

This paper examines the validity of ratings assigned by rating agencies on structured
products: ABS and ABS CDO. The rating agencies have been criticized for assigning AAA …

This cumulative doctoral thesis contributes to the broad literature on credit risk management
and regulation. Following Basel II/III, financial institutions are allowed to use own estimates …