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Modeling of cash flows from nonperforming loans in a commercial bank
Devjak, Srečko - In: Naše gospodarstvo : NG 64 (2018) 4, pp. 3-9
The purpose of this paper is to derive a model for calculation of maturities and volumes of repayments that a bank may expect from nonretail nonperforming loans (hereafter NPLs). Expected inflows from nonretail NPLs follow a probability distribution, defined by size and timing of historic...
Persistent link: https://www.econbiz.de/10012021720
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The role of non-performing loans for bank lending rates
Bredl, Sebastian - 2019
Against the backdrop of a high stock of non-performing loans (NPLs) in several European countries, this paper investigates the role of NPLs for lending rates charged for newly granted loans in the euro area. More precisely, it looks for an effect that extends beyond losses caused by that stock...
Persistent link: https://www.econbiz.de/10011955694
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Macroeconomic and Bank-Specific Determinants of Nonperforming Loans in Greece : A Comparative Study of Mortgage, Business and Consumer Loan Portfolios
Vouldis, Angelos T.; Louzis, Dimitrios P.; Metaxas, … - 2022
This paper uses dynamic panel data methods to examine the determinants of nonperforming loans (NPLs) in the Greek banking sector, separately for each type of loan (consumer, business and mortgage loans). The study is motivated by the hypothesis that both macroeconomic and bank-specific variables...
Persistent link: https://www.econbiz.de/10013404350
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Risk Allocation Through Securitization – Evidence From Non-Performing Loans
Wengerek, Sascha Tobias; Hippert, Benjamin; Uhde, André - 2021
Employing a unique and hand-collected sample of 648 true sale loan securitization transactions issued by 57 stock … between true sale loan securitization and the issuing banks’ non-performing loans to total assets ratios (NPLRs). We provide … in Europe indicating that issuing banks provided credit enhancement and demonstrated `skin in the game'. Our baseline …
Persistent link: https://www.econbiz.de/10013233839
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An empirical study of securitisations of non-performing loans
Boudiaf, Ismael Alexander; González, Fernando - 2022
After addressing the securitisation of non-performing loans (NPLs) within the broader context of the ECB's efforts to reduce NPL stocks and inflows, we investigate the structural and pricing features of NPL securitisations, issued by large banks in the euro area, by drawing on a unique and...
Persistent link: https://www.econbiz.de/10013198336
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An Empirical Study of Securitisations of Non-Performing Loans
Boudiaf, Ismael Alexander; Miranda, Fernando Gonzalez - 2022
After addressing the securitisation of non-performing loans (NPLs) within the broader context of the ECB’s efforts to reduce NPL stocks and inflows, we investigate the structural and pricing features of NPL securitisations, issued by large banks in the euro area, by drawing on a unique and...
Persistent link: https://www.econbiz.de/10013289296
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Net flow rates versus roll rates as non-performing consumer loans forecasting methodologies
De Ribera Martin, Francisco de Asis - In: Revista de métodos cuantitativos para la economía y … 34 (2022), pp. 37-59
Roll rates and net flow rates can be seen as the evolution of ageing of accounts receivable and Markov chains. They are accepted methodologies to model the behavior of non-performing consumer loans by buckets and to predict losses, but we find that quite often they are wrongly used as...
Persistent link: https://www.econbiz.de/10013485817
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Macroeconomic Effects and Frailties in the Resolution of Non-Performing Loans
Betz, Jennifer - 2018
Resolution of non-performing loans is a key determinant of bank credit default losses. This paper analyzes …
Persistent link: https://www.econbiz.de/10012927425
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Impact of High Non-Performing Loan Ratios on Bank Lending Trends and Profitability
Jing, Eric - 2020
The goal of this paper is to explore the relationship between the specific non-performing loan ratio (NPL ratio) and the corresponding impact on the bank's profitability and lending behavior. It also seeks to investigate the macroeconomic impacts of economies with excessively high NPL ratios as...
Persistent link: https://www.econbiz.de/10012826179
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Bank Non-Performing Loans in the Fintech Era
Ozili, Peterson K - 2021
that have high supply of credit to the private sector experience high non-performing loans in the second wave Fintech era … higher credit supply in the second-wave Fintech era …
Persistent link: https://www.econbiz.de/10013213669