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Boom-bust cycles, imbalances and discipline in Europe

Alberola, Enrique; Molina, Luis; Río, Pedro del - Banco de España - 2012

The fallout from the 2008 financial crisis has been particularly acute in the euro area Member States of the south-western rim and in the new EU Member States, due to their previously accumulated macroeconomic and financial imbalances. The perception that the euro environment provided a solid...

Persistent link: https://www.econbiz.de/10010678679

Why do spanish firms rarely use the bankruptcy system? The role of the mortgage institution

García-Posada, Miguel; Mora-Sanguinetti, Juan S. - Banco de España - 2012

the Spanish bankruptcy system relative to that of an alternative insolvency institution, the mortgage system, and the …

Persistent link: https://www.econbiz.de/10010678678

Insolvency institutions and efficiency: the Spanish case

García-Posada, Miguel - Banco de España - 2013

, namely the mortgage system, mean that firms and their creditors mainly deal with credit provision and eventual insolvency … through the latter. However, in order to use the mortgage system, some firms must overinvest in capital assets (real estate …, equipment) since those are the assets that can be pledged as mortgage collateral. This overinvestment leads to productive …

Persistent link: https://www.econbiz.de/10010678693

Are there alternatives to bankruptcy? a study of small business distress in Spain

García-Posada, Miguel; Mora-Sanguinetti, Juan S. - Banco de España - 2013

main alternative procedure, the mortgage foreclosure; (ii) personal bankruptcy law is unattractive to the individual debtor …

Persistent link: https://www.econbiz.de/10010705525

Disentangling contagion among sovereign cds spreads during the european debt crisis

Broto, Carmen; Perez-Quiros, Gabriel - Banco de España - 2013

During the last crisis, developed economies’ sovereign Credit Default Swap (hereafter CDS) premia have gained in importance as a tool for approximating credit risk. In this paper, we fit a dynamic factor model to decompose the sovereign CDS spreads of ten OECD economies into three components:...

Persistent link: https://www.econbiz.de/10010862250

Estimation of Regulatory Credit Risk Models

Montes, Carlos Pérez - Banco de España - 2013

This article estimates a general credit risk model with both macroeconomic and latent credit factors for Spanish banks during the period 2004-2010. The proposed framework allows to estimate with bank level data both the standard credit risk model of Basel II and generalized models. I fi nd...

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 other explanatory variables. The study uses information...

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

Assessing the risk-return trade-off in loans portfolios

Mencía, Javier - Banco de España - 2009

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...

Persistent link: https://www.econbiz.de/10004969766