Similar Search Results

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

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

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

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

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