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CECL and the credit cycle
Loudis, Bert; Ranish, Ben - 2019
We find that that the Current Expected Credit Loss (CECL) standard would slightly dampen fluctuations in bank lending …
Persistent link: https://www.econbiz.de/10012182062
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The impact of the current expected credit loss standard (CECL) on the timing and comparability of reserves
Chae, Sarah; Sarama, Robert F.; Vojtech, Cindy M.; … - 2018
The new forward-looking credit loss provisioning standard, CECL, is intended to promote proactive provisioning as loan … loss reserves can be conditioned on expectations of the economic cycle. We study the degree to which one modeling decisionâ … portfolios. While we find that provisions are generally less pro-cyclical compared to the current incurred loss standard, CECL …
Persistent link: https://www.econbiz.de/10011927112
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Are Banks' Internal Risk Parameters Consistent? Evidence from Syndicated Loans
Firestone, Simon - 2014
This paper examines consistency in the estimates of probability of default (PD) and loss given default (LGD) that nine …
Persistent link: https://www.econbiz.de/10013061902
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The effect of bank supervision on risk taking : evidence from a natural experiment
Kandrac, John; Schlusche, Bernd - 2017
In this paper, we exploit a natural experiment in which thrifts in several states witnessed an exogenous reduction in supervisory attention to assess the effect of supervision on financial institutions' willingness to take risk. We show that the affected institutions took on much more risk than...
Persistent link: https://www.econbiz.de/10011710132
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Why are banks not recapitalized during crises?
Crosignani, Matteo - 2017
I develop a model where the sovereign debt capacity depends on the capitalization of domestic banks. Low-capital banks optimally tilt their government bond portfolio toward domestic securities, linking their destiny to that of the sovereign. If the sovereign risk is sufficiently high,...
Persistent link: https://www.econbiz.de/10011710170
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Banks, Non Banks, and Lending Standards
Darst, Matthew; Refayet, Ehraz; Vardoulakis, Alexandros - 2020
We study how competition between banks and non-banks affects lending standards. Banks have private information about some borrowers and are subject to capital requirements to mitigate risk-taking incentives from deposit insurance. Non-banks are uninformed and market forces determine their...
Persistent link: https://www.econbiz.de/10014048731
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Does Giving CRA Credit for Loan Purchases Increase Mortgage Credit in Low-to-Moderate Income Communities?
Brevoort, Kenneth P. - 2022
Under the Community Reinvestment Act (CRA) banks can fulfill their affirmative obligation to meet local credit needs by lending in low-to-moderate-income (LMI) communities or by purchasing loans made by others. This paper evaluates whether giving CRA credit for purchases has had its intended...
Persistent link: https://www.econbiz.de/10013404195
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The Collateral Channel and Bank Credit
Gupta, Arun; Sapriza, Horacio; Yankov, Vladimir - 2022
Our paper studies the role of the collateral channel for bank credit using confidential bank-firm-loan data. We estimate that for a 1 percent increase in collateral values, firms pledging real estate collateral experience a 12 basis point higher growth in bank lending with higher sensitivities...
Persistent link: https://www.econbiz.de/10013289297
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Half-full or half-empty? : financial institutions, CDS use, and corporate credit risk
Caglio, Cecilia; Darst, R. Matthew; Parolin, Eric - 2018 - Current version: January 31, 2018
We construct a novel U.S. data set that matches bank holding company credit default swap (CDS) positions to detailed U.S. credit registry data containing both loan and corporate bond holdings to study the effects of banks' CDS use on corporate credit quality. Banks may use CDS to mitigate agency...
Persistent link: https://www.econbiz.de/10011932424
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The impact of credit risk mispricing on mortgage lending during the subprime boom
Kahn, James A.; Kay, Benjamin S. - 2019
We provide new evidence that credit supply shifts contributed to the U.S. subprime mortgage boom and bust. We collect original data on both government and private mortgage insurance premiums from 1999-2016, and document that prior to 2008, premiums did not vary across loans with widely different...
Persistent link: https://www.econbiz.de/10012181334