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Do specialization benefits outweigh concentration risks in credit portfolios of German banks?
Böve, Rolf; Düllmann, Klaus; Pfingsten, Andreas - 2010
Lending specialization on certain industry sectors can have opposing effects on monitoring (including screening) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if monitoring abilities of German cooperative banks and savings...
Persistent link: https://www.econbiz.de/10010303636
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Loss, default and loss given default modeling
Witzany, Jiří - 2009
The goal of the Basle II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula … is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss …-factor models where default and loss given default are driven by one systemic factor and by one or more idiosyncratic factors. In …
Persistent link: https://www.econbiz.de/10010322310
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Leverage and beliefs: Personal experience and risk taking in margin lending
Koudijs, Peter; Voth, Hans-Joachim - 2014
What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor syndicate speculating in Amsterdam in 1772 went...
Persistent link: https://www.econbiz.de/10011282480
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Does monetary policy affect bank risk-taking?
Altunbas, Yener; Gambacorta, Leonardo; … - 2010
This paper investigates the relationship between short-term interest rates and bank risk. Using a unique database that includes quarterly balance sheet information for listed banks operating in the European Union and the United States in the last decade, we find evidence that unusually low...
Persistent link: https://www.econbiz.de/10011605212
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Diversification and the banks' risk-return-characteristics: evidence from loan portfolios of German banks
Behr, Andreas; Kamp, Andreas; Memmel, Christoph; … - 2007
) Specialized banks have a slightly higher return than diversified banks. ii) Specialized banks have lower relative loan loss … provisions and lower shares of non-performing loans, iii) However, the standard deviations of the loan loss provision ratio and …
Persistent link: https://www.econbiz.de/10010295924
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How banks construct and manage risk: A sociological study of small firm lending in Britain and Germany
Lane, Christel; Quack, Sigrid - 2002
This paper analyses the role of banks in financing SMEs in Britain and Germany. It applies a sociological institutionalist approach to understand how banks construct and manage risk, relating to SME business. The empirical analysis is based on the results of a comparative survey of a sample of...
Persistent link: https://www.econbiz.de/10010304095
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Anslag på bankenes tap på utlån til ikke-finansielle foretak
Hjelseth, Ida Nervik; Arbatli, Elif; Solheim, Haakon; … - 2020
Loans to non-financial enterprises are the main source of banks' losses. Analyses of banks' losses on corporate loans are therefore important in the assessment of financial stability. This paper presents Norges Bank's framework for estimating losses on corporate loans built up from microdata for...
Persistent link: https://www.econbiz.de/10012661601
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Estimates of banks' losses on loans to the corporate sector
Hjelseth, Ida Nervik; Arbatli, Elif; Solheim, Haakon; … - 2020
Loans to non-financial enterprises are the main source of banks' losses. Analyses of banks' losses on corporate loans are therefore important in the assessment of financial stability. This paper presents Norges Bank's framework for estimating losses on corporate loans built up from microdata for...
Persistent link: https://www.econbiz.de/10012661605
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Endogenous credit derivatives and bank behavior
Pausch, Thilo - 2007
Instruments for credit risk transfer arise endogenously from and interact with optimizing behavior of their users. This is particularly true with credit derivatives which are usually OTC contracts between banks as buyers and sellers of credit risk. Recent literature, however, does not account...
Persistent link: https://www.econbiz.de/10010295935
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Value at risk, bank equity and credit risk
Broll, Udo; Wahl, Jack E. - 2003
We study the implications of the value at risk concept for the bank's optimum amount of equity capital under credit risk. The market value of loans is risky and lognormally distributed. We show that the required equity capital depends upon managerial and market factors. Furthermore, the bank's...
Persistent link: https://www.econbiz.de/10010305454