This paper investigates how syndicated lenders react to borrowers’ rating changes under heterogeneous conditions and different regulatory regimes. Our findings suggest that corporate downgrades increase capital requirements for lending banks the Basel II framework are associated with increased loan spreads deteriorating non-price terms relative do not affect requirements. Ratings exert an asymm...

In this paper we consider modeling of credit risk within the Libor market models. We extend the classical definition of the defaultfree forward Libor rate to defaultable bonds with credit ratings and develop the rating based Libor market model. As driving processes for the dynamics of the default-free and the pre-default term structure of Libor rates time-inhomogeneous Lévy processes are used. ...

The corporate credit risk literature has many studies modelling the change in the credit risk of corporate bonds over time. There is far less analysis of the credit risk for portfolios of consumer loans. However behavioural scores, which are commonly calculated on a monthly basis by most consumer lenders are the analogues of ratings in corporate credit risk. Motivated by studies in corporate cr...