Several studies have addressed, with conflicting results, the issue of procyclical effects of loan loss provisions in … the past. More recently, the weak performance of incurred loss models in the financial crisis has given rise to a new … expected loss model in IFRS 9. This study contributes to the extant literature by separately analyzing the cyclical effects of …

Several studies have addressed, with conflicting results, the issue of procyclical effects of loan loss provisions in … the past. More recently, the weak performance of incurred loss models in the financial crisis has given rise to a new … expected loss model in IFRS 9. This study contributes to the extant literature by separately analyzing the cyclical effects of …

, and of amicable agreements between the debtor and the bank (redemption), on the recovery rate [1 − loss given default (LGD …

, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has …

; diversification ; expected loss ; savings banks ; cooperative banks ; concentration ; economic capital ; credit risk …