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Estimation of Regulatory Credit Risk Models
Montes, Carlos Pérez - Banco de España - 2013
during the period 2004-2010. The proposed framework allows to estimate with bank level data both the standard credit risk …
Persistent link: https://www.econbiz.de/10010862283
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Financial Stability and Financial Inclusion
Morgan, Peter J.; Pontines, Victor - East Asian Bureau of Economic Research (EABER) - 2014
inclusion (together with some control variables) on some measures of financial stability, including bank non-performing loans … and bank Z-scores. We find some evidence that an increased share of lending to small and medium-sized enterprises (SMEs …
Persistent link: https://www.econbiz.de/10011278004
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Financial Stability and Financial Inclusion
Morgan, Peter J.; Pontines, Victor - East Asian Bureau of Economic Research (EABER) - 2014
inclusion (together with some control variables) on some measures of financial stability, including bank non-performing loans … and bank Z-scores. We find some evidence that an increased share of lending to small and medium-sized enterprises (SMEs …
Persistent link: https://www.econbiz.de/10011278019
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Financial Inclusion and Financial Stability : Current Policy Issues
Hannig, Alfred; Jansen, Stefan - East Asian Bureau of Economic Research (EABER) - 2011
transact small volumes. Although this profile may raise some concerns regarding reputational risks for the central bank and …
Persistent link: https://www.econbiz.de/10011278058
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Financial Inclusion and Financial Stability : Current Policy Issues
Hannig, Alfred; Jansen, Stefan - East Asian Bureau of Economic Research (EABER) - 2011
transact small volumes. Although this profile may raise some concerns regarding reputational risks for the central bank and …
Persistent link: https://www.econbiz.de/10011278157
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Collateral, type of lender and relationship banking as determinants of credit risk
Jiménez, Gabriel; Saurina, Jesús - Banco de España - 2004
This paper analyses the determinants of the probability of default (PD) of bank loans. We focus the discussion on the … role of a limited set of variables (collateral, type of lender and bank borrower relationship) while controlling for the … institutions over a complete business cycle (1988 to 2000) collected by the Bank of Spain's Credit Register (Central de Información …
Persistent link: https://www.econbiz.de/10005022225
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Credit cycles, credit risk, and prudential regulation
Jiménez, Gabriel; Saurina, Jesús - Banco de España - 2005
This paper finds strong empirical support of a positive, although quite lagged, relationship between rapid credit growth and loan losses. Moreover, it contains empirical evidence of more lenient credit terms during boom periods, both in terms of screening of borrowers and in collateral...
Persistent link: https://www.econbiz.de/10005155236
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Modeling the distribution of credit losses with observable and latent factors
Jiménez, Gabriel; Mencía, Javier - Banco de España - 2007
This paper develops a flexible and computationally efficient model to estimate the credit loss distribution of the loans in a banking system. We consider a sectorial structure, where default frequencies and the total number of loans are allowed to depend on macroeconomic conditions as well as on...
Persistent link: https://www.econbiz.de/10005155254
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How Does Competition Impact Bank Risk-Taking?
Jiménez, Gabriel; Lopez, Jose A.; Saurina, Jesús - Banco de España - 2010
A common assumption in the academic literature is that franchise value plays a key role in limiting bank risk … of market concentration do not affect bank risk-taking. However, we find a negative relationship between market power … measured using Lerner indexes based on bank-specific interest rates and bank risk. Our results support the franchise value …
Persistent link: https://www.econbiz.de/10008478833