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The time dimension of the links between loss given default and the macroeconomy
Koneèný, Tomáš; Seidler, Jakub; Belyaeva, Aelita; … - 2017
Most studies focusing on the determinants of loss given default (LGD) have largely ignored possible lagged effects of …
Persistent link: https://www.econbiz.de/10011636239
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Same same but different : credit risk provisioning under IFRS 9
Behn, Markus; Couaillier, Cyril - 2023
We analyse the impact of the adoption of expected credit loss accounting (IFRS 9) on the timeliness and potential … procyclicality of banks' loan loss provisioning. We use granular loan-level data from the euro area's credit register and investigate …. Additionally, banks with a larger capital headroom provision significantly more, particularly for loans using IFRS 9. This suggests …
Persistent link: https://www.econbiz.de/10014362650
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Does IFRS 9 increase banks' resilience?
Kund, Arndt-Gerrit; Rugilo, Daniel - 2023
IFRS 9 substantially affects the financial sector by changing the impairment methodology for credit losses. This paper … analyzes the implications of the change from IAS 39 to IFRS 9 in the context of bank resilience. We shed light on two effects … only recognized with hindsight, and thus late and abruptly. IFRS 9 was designed to mitigate this issue through a staging …
Persistent link: https://www.econbiz.de/10014230334
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The impact of G-SIB identification on bank lending : evidence from syndicated loans
Behn, Markus; Schramm, Alexander - 2020
This paper uses granular data on syndicated loans to analyse the impact of international reforms for Global Systemically Important Banks (G-SIBs) on bank lending behaviour. Using a difference-in-differences estimation strategy, we find no effect of the reforms on overall credit supply, while at...
Persistent link: https://www.econbiz.de/10012299026
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Interbank rate uncertainty and bank lending
Altavilla, Carlo; Carboni, Giacomo; Lenza, Michele; … - 2019
This paper investigates the effects of interbank rate uncertainty on lending rates to euro area firms. We introduce a novel measure of interbank rate uncertainty, computed as the cross-sectional dispersion in interbank market rates on overnight unsecured loans. Using proprietary bank-level data,...
Persistent link: https://www.econbiz.de/10012059036
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A study on the EBA stress test results : influence of bank, portfolio and country-level characteristics
Hernández, Javier; Población García, Javier; … - 2022
The purpose of this paper is to investigate the main drivers of the change in the credit risk provisions at a portfolio level for the banks that have been subject of the 2018 EBA stress tests. Therefore, we perform a holistic review of the drivers of the three-year projections of credit losses....
Persistent link: https://www.econbiz.de/10012822183
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What drives banks' credit standards? : an analysis based on a large bank-firm panel
Faccia, Donata; Hünnekes, Franziska; Köhler-Ulbrich, Petra - 2024
In this paper we build a unique dataset to study how banks decide which firms to lend to and how this decision depends on their own situation and the characteristics of their borrowers. We find that weaker capitalised banks adjust their credit standards more than healthier banks, especially for...
Persistent link: https://www.econbiz.de/10014486705
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Cross-border lending contagion in multinational banks
Derviz, Alexis (contributor); Podpiera, Jiří (contributor) - 2007
We study both theoretically and empirically the interdependence of lending decisions in different country branches of a multinational bank. First, we model a bank that delegates the management of its foreign unit to a local manager with non-transferable skills. The bank differs from other...
Persistent link: https://www.econbiz.de/10003554320
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Loan prospecting
Heider, Florian; Inderst, Roman - 2012
Persistent link: https://www.econbiz.de/10009765204
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Non-performing loans : what matters in addition to the economic cycle?
Beck, Roland; Jakubik, Petr; Piloiu, Anamaria - 2013
Persistent link: https://www.econbiz.de/10009765544