In this research, we evaluate the riskiness of the covenant-lite agreement and the effect on the probability of default. Following the accurate identification of credit risk, we proceed to assess each bank within the syndicate by capturing their exposure to riskier loans, evaluating systemic risk, and analyzing their interconnectedness with all other lenders.
The leveraged loan market: credit and systemic risk identification
Gennaro De Novellis
;Paola Musile Tanzi;
2023
Abstract
In this research, we evaluate the riskiness of the covenant-lite agreement and the effect on the probability of default. Following the accurate identification of credit risk, we proceed to assess each bank within the syndicate by capturing their exposure to riskier loans, evaluating systemic risk, and analyzing their interconnectedness with all other lenders.
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