This paper tests the validity of a single-factor (market) model to price consumer lending risk. It classifies US … revolving credit as default risk, show that the intercepts are indistinguishable from zero in 22 portfolios, and the average … default rate of a portfolio increases with its beta. The additional risk factors based on unemployment and income growth …

not driven by credit risk differences between female- and male-owned firms or by any idiosyncrasies in the set of …

empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of … all borrowers. The results of the test supported the hypothesis of portfolio risk pricing and suggest that the spread of … loan required that the spread of loan required by risk-averse lenders is in general higher than the risk premium of the …

Credit risk is crucial to understanding banks' production technology and should be explicitly accounted for when … modeling the latter. The banking literature has largely accounted for risk by using ex-post realizations of banks' uncertain … outputs and the variables intended to capture risk. This is equivalent to estimating an ex-post realization of bank …

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

credit risk amid greater uncertainty. These adverse impacts of uncertainty on bank lending (both quantity and quality) are …