Showing 1 - 10 of 169
Using supervisory loan-level data on corporate loans, we show that banks facing high levels of non-performing loans relative to their capital and provisions were more likely to grant forbearance measures to the riskiest group of borrowers. More specifically, we find that risky borrowers are more...
Persistent link: https://www.econbiz.de/10012300592
This paper analyzes the capital structure of private asset managers in which the acquisition of nonperforming loans (NPLs) is funded with Contingent Convertibles (CoCos) placed with investors. The paper develops a model based on NPL transfer prices and residual recovery rates to assess capital...
Persistent link: https://www.econbiz.de/10012021827
This paper presents a new dataset on the dynamics of non-performing loans (NPLs) during 88 banking crises since 1990. The data show similarities across crises during NPL build-ups but less so during NPL resolutions. We find a close relationship between NPL problems-elevated and unresolved...
Persistent link: https://www.econbiz.de/10012155002
Persistent link: https://www.econbiz.de/10009486196
We study the impact of the COVID-19 recession on capital structure of publicly listed U.S. firms. Our estimates suggest leverage (Net Debt/Asset) decreased by 5.3 percentage points from the pre-shock mean of 19.6 percent, while debt maturity increased moderately. This de-leveraging effect is...
Persistent link: https://www.econbiz.de/10012796218
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...
Persistent link: https://www.econbiz.de/10012613371
Corporate sector vulnerabilities have been a central policy topic since the outset of the COVID-19 pandemic. In this paper, we analyze some 17,000 publicly listed firms in a sample of 24 countries, and assess their ability to withstand shocks induced by the pandemic to their liquidity, viability...
Persistent link: https://www.econbiz.de/10012605125
This paper incorporates house price risk and mortgages into a standard incomplete market (SIM) model. The model is calibrated to match U.S. data and accounts for non-targeted features of the data such as the distribution of down payments, the life-cycle profile of home ownership, and the...
Persistent link: https://www.econbiz.de/10014396941
Sizable risk capital from outside may be necessary to accelerate Japan''s corporate restructuring to replace the stock of impaired bank loans. To attract risk capital, impaired loans must find market-clearing prices. However, the asymmetry in the bid-ask prices faced by banks and distressed-debt...
Persistent link: https://www.econbiz.de/10014401302
This survey reviews a number of different fundamentals-based models for estimating default probabilities for firms and/or industries, and illustrates them with real applications by practitioners and policy making institutions. The models are especially useful when the firms analyzed do not have...
Persistent link: https://www.econbiz.de/10014402242