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Credit Exposure and Valuation of Revolving Credit Lines

Wu, Yan Wendy - 2020

The revolving credit line is the dominant form of commercial bank lending. We present an arbitrage-free valuation … method incorporating a borrower's stochastic credit quality and drawdown behavior. Credit exposure is measured by the size of … ﬁxed balance loan of identical term having the same cost of default protection via credit default swap. Multi …

Persistent link: https://www.econbiz.de/10012857391

Bank leverage, credit and GDP in Switzerland : a VAR analysis 1987-2015

Kugler, Peter; Junge, Georg - 2017

leverage on GDP, credit and the interest rate spread. Increasing capital requirements for banks should therefore have no strong …

Persistent link: https://www.econbiz.de/10011667888

The countercyclical capital buffer and the composition of bank lending

Auer, Raphael A.; Matyunina, Alexandra; Ongena, Steven - 2021

question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential …

Persistent link: https://www.econbiz.de/10012643066

The countercyclical capital buffer and the composition of bank lending

Auer, Raphael A.; Ongena, Steven - 2019

question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential …

Persistent link: https://www.econbiz.de/10012064522

More data, more credit? : information sharing and bank credit to households

Briglevics, Tamás; Karapetyan, Artashes; Ongena, Steven; … - 2024

We exploit a nation-wide introduction of mandatory disclosure of borrowers' total credit exposures and show that … sharing such information increases credit access independent of borrowers' history. Differentiating between borrowers applying … history, we find an overall increase in credit access measured by both loan application acceptance and credit amount. While …

Persistent link: https://www.econbiz.de/10014500915

Loan loss pprovision : some empirical evidence for Italian banks

Caporale, Guglielmo Maria; Alessi, Matteo; Di Colli, Stefano - 2015

This paper uses data from a panel of more than 400 Italian banks for the period 2001 - 2012 to examine the main determinants of loan loss provision (LLP), which are classified as either discretionary (income smoothing, capital management, signalling) or non-discretionary (related to the business...

Persistent link: https://www.econbiz.de/10010496145

Loss Given Default for Commercial Loans at Failed Banks

Shibut, Lynn - 2016

This paper extends what we know about loss given default (LGD) on commercial loans by studying certain types of these loans that have been excluded from previous research but that may be more representative of loans held by small and mid-sized banks. We use a newly available dataset on...

Persistent link: https://www.econbiz.de/10013002186

Credit Default Swaps and Bank Loan Sales : Evidence from Bank Syndicated Lending

Hasan, Iftekhar - 2017

. The credit-enhancement channel predicts a positive relation between banks' CDS selling and loan sales. Using syndicated … substitute channel, and the credit-enhancement channel plays an important role in bank loan sales …

Persistent link: https://www.econbiz.de/10012971614

Two Extensive Margins of Credit and Loan-to-Value Policies

Gete, Pedro - 2017

We analyze a model of mortgage markets, housing tenure choice, heterogeneous agents, and default with closed form solutions. We uncover new insights which may inspire empirical work, and we ground already-established insights in a series of tractable expressions. Then we study optimal LTV...

Persistent link: https://www.econbiz.de/10012972322

Benchmarking Non-Performing Loans

Cerulli, Giovanni - 2019

This paper provides a new perspective to evaluate the economic role played by banks in non-performing loans (NPLs) accumulation. We estimate a benchmark NPL levels on the judicial inefficiency dimension, controlling for country- and bank-specific factors. To this end, first, we empirically...

Persistent link: https://www.econbiz.de/10012902399