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BankCaR (Bank Capital-at-Risk): A credit risk model for US commercial bank charge-offs
Frye, Jon; Pelz, Eduard - 2008
BankCaR is a credit risk model that forecasts the distribution of a commercial bank's charge-offs. The distribution depends only on systematic factors; BankCaR takes each bank and projects its expected charge-off across a distribution of good years and bad years. Since most bank failures occur...
Persistent link: https://www.econbiz.de/10010292167
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How voluntary information sharing systems form: Evidence from a U.S. commercial credit bureau
Liberti, José; Sturgess, Jason; Sutherland, Andrew - 2021
We use the introduction of a U.S. commercial credit bureau to study when lenders adopt voluntary information sharing technology and the resulting consequences for competition and credit access. Our results suggest that lenders trade off access to new markets against heightened competition for...
Persistent link: https://www.econbiz.de/10013254714
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False Discoveries in Mutual Fund Performance : Measuring Luck in Estimated Alphas
Barras, Laurent; Scaillet, Olivier; Wermers, R. - Institut für Schweizerisches Bankwesen <Zürich> - 2008
substantially improves the ability to find funds with persistent performance. …
Persistent link: https://www.econbiz.de/10005858726
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A Guarantee – Does the Obligee Agree? A Risk Premium Decomposition of Sub-Sovereign Bond Spreads
Knezevic, David; Krüger, Niclas A.; Nordström, Martin - 2019
The purpose of this paper is to investigate if credit markets believe in the existence of a central government guarantee and if this can be observed in the yield spread of the municipal sector. This is done by decomposing the municipal bond yield spread into liquidity and credit risk premiums by...
Persistent link: https://www.econbiz.de/10012654454
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Bank Ownership and Performance
Micco, Alejandro; Panizza, Ugo; Yañez, Mónica - 2004
This paper builds a new dataset on bank ownership and bank performance covering approximately 50,000 observations for … ownership and bank performance, providing separated estimations for developing and industrial countries. It is found that, while … ownership is strongly correlated with performance in developing countries, that ownership is not correlated with performance in …
Persistent link: https://www.econbiz.de/10010327143
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Banking Market Liberalization and Bank Performance:the Role of Entry Modes
Vo Thi, Ngoc-Anh - William Davidson Institute <Ann Arbor, Mich.> - 2009
This paper analyzes the evolution in bank performance following the removal of legalrestrictions on the entry of … liberalization occurred in each country. Bank performance isreflected by accounting measures of profitability, net interest margin … significant impacts on bank performance. Indeed, weobserve significant declines in banks' profits and net interest margins, and a …
Persistent link: https://www.econbiz.de/10009360509
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Credit Risk in General Equilibrium
Eichberger, Jürgen; Rheinberger, Klaus; Summer, Martin - 2011
Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk: probability of default, exposure at default and the recovery...
Persistent link: https://www.econbiz.de/10013370089
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Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps
Ugolini, Andrea; Reboredo, Juan C.; Ojea-Ferreiro, Javier - 2023
We study whether climate transition risk is reflected in the credit default swap (CDS) spreads of firms. Using information on the vulnerability of a firm's value to the transition to a low carbon economy, we construct a climate transition risk (CTR) factor, and document how this factor shifts...
Persistent link: https://www.econbiz.de/10014305706
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Modelos de puntuación crediticia: La falta de información y el uso de datos de una central de riesgos
Balzarotti, Verónica; Castelpoggi, Fernando - 2008
The main purpose of this paper is to study the problem created by the lack of information about the credit history of some debtors in the databases used to develop credit scoring models and the use of information about behavior compiled by a credit risk register as a potential solution to the...
Persistent link: https://www.econbiz.de/10010325097
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How bad is a bad loan? Distinguishing inherent credit risk from inefficient lending (does the capital market price this difference?)
Hughes, Joseph P.; Moon, Choon-Geol - 2017
performance by market value, we find the ratio of nonperforming loans to total loans is on average negatively related to financial … performance except at the largest banks. When nonperformance is decomposed into inherent credit risk and lending inefficiency …
Persistent link: https://www.econbiz.de/10012028607