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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 … de Riesgos). We find that collateralised loans have a higher PD, loans granted by savings banks are riskier and, finally …

Persistent link: https://www.econbiz.de/10005022225

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

A systematic approach to multi-period stress testing of portfolio credit risk

Breuer, Thomas; Jandačka, Martin; Mencía, Javier; … - Banco de España - 2010

We propose a new method for analysing multiperiod stress scenarios for portfolio credit risk more systematically than in the current practice of macro stress testing. Our method quantifies the plausibility of scenarios by considering the distance of the stress scenario from an average scenario....

Persistent link: https://www.econbiz.de/10008471566

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 … low creditor protection of the Spanish bankruptcy system relative to those of an alternative insolvency institution … through the latter. However, in order to use the mortgage system, some firms must overinvest in capital assets (real estate …

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 … note that these results are based on data that do not yet capture the impact of recent reforms of the Spanish insolvency …

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

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

Implied default barrier in credit default swap premia

Alonso, Francisco; Forte, Santiago; Marqués, José M. - Banco de España - 2006

This paper applies the methodology developed by Forte and Peña (2006) to extract the implied default point in the premium on credit default swaps (CDS). As well as considering a more extensive international sample of corporations (96 US, European and Japanese companies) and a longer time...

Persistent link: https://www.econbiz.de/10005590716

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-taking. As market power is the primary source of franchise value, reduced competition in banking markets has been seen as promoting banking stability. We test this hypothesis using data...

Persistent link: https://www.econbiz.de/10008478833