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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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Modelling bank loan LGD of corporate and SME segments: A case study
Chalupka, Radovan; Kopecsni, Juraj - 2008
The aim of this paper is to propose a methodology to estimate loss given default (LGD) and apply it to a set of micro-data of loans to SME and corporations of an anonymous commercial bank from Central Europe. LGD estimates are important inputs in the pricing of credit risk and the measurement of...
Persistent link: https://www.econbiz.de/10010322197
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Stress testing of the Czech banking sector
Jakubík, Petr; Heřmánek, Jaroslav - 2008
This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and credit growth broken down by sector. The use of these models enables the stress tests to be linked to the CNB's official quarterly macroeconomic forecast. In addition, the...
Persistent link: https://www.econbiz.de/10010322230
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Regulation, credit risk transfer with CDS, and bank lending
Pausch, Thilo; Welzel, Peter - 2012
We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on lending behavior and risk sensitivity of a...
Persistent link: https://www.econbiz.de/10010308265
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Creditor coordination with social learning and endogenous timing of credit decisions
Schüle, Tobias - 2006
creditors the option to delay their foreclosure decision rather than obliging them to simultaneous actions as suggested by …
Persistent link: https://www.econbiz.de/10010301793
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Signalling effects of a large player in a global game of creditor coordination
Schüle, Tobias; Stadler, Manfred - 2005
creditors, and analyze the signalling effects of the largecreditor's investment decision on the subsequent behavior of the small …In case of multiple creditors a coordination problem can arise when the borrowingfirm runs into financial distress …. Even if the project's value at maturity is enoughto pay all creditors in full, some creditors may be tempted to foreclose …
Persistent link: https://www.econbiz.de/10010301815
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Do banks diversify loan portfolios? A tentative answer based on individual bank loan portfolios
Kamp, Andreas; Pfingsten, Andreas; Porath, Daniel - 2005
Theory of financial intermediation gives contradicting answers to the question whether banks should diversify or focus …
Persistent link: https://www.econbiz.de/10010295896
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Relationship lending, firms' behaviour and credit risk: Evidence from the Czech Republic
Geršl, Adam; Jakubík, Petr - 2010
This paper presents the results of an analysis of data on individual bank loans of non-financial corporations in the Czech Republic taken from the CNB's Central Credit Register. It focuses on the question of how firms obtain financing from domestic banks. The results show that the vast majority...
Persistent link: https://www.econbiz.de/10010322257
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Implied market loss given default: Structural-model approach
Seidler, Jakub - 2008
This paper focuses on the key credit risk parameter Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors or macroeconomic conditions. Further, we illustrate how the LGD can be extracted from market observable...
Persistent link: https://www.econbiz.de/10010322322
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Foreign currency borrowing of housholds in new EU member states
Csajbók, Attila; Hudecz, András; Tamási, Bálint - 2010
The post-Lehman phase of the financial crisis has exposed a number of weaknesses in the banking sectors of the European Union's New Member States (NMSs). One of these is the prevalence of lending in foreign currency. While banks themselves in these countries have not taken on sizeable currency...
Persistent link: https://www.econbiz.de/10010322385