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Are Banks' Internal Risk Parameters Consistent? Evidence from Syndicated Loans
Firestone, Simon - 2014
parameters affect bank credit supply …
Persistent link: https://www.econbiz.de/10013065553
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Bank Monitoring and Financial Reporting Quality : The Case of Accounts-Receivable-Based Loans
Frankel, Richard M. - 2020
Using novel receivable-based-loan data, we study the effect of aging-report loan covenants on borrowers' accounts receivable reporting quality. Our purpose is to highlight a channel that lenders use to obtain private information and to understand whether lenders' information acquisition affects...
Persistent link: https://www.econbiz.de/10012842317
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The Impacts of Monetary Policy on Banks’ Loan Portfolio Risk-Taking
Adão, Luiz F.S; Silveira, Douglas; Ely, Regis Augusto; … - 2021
Using an agent-based model, we investigate how monetary policy affects banks' risk-taking in terms of the profile of their lending to real sector firms.Our agent-based model considers five types of agents: banks, depositors, the Central Bank, firms, and the clearinghouse. While banks and...
Persistent link: https://www.econbiz.de/10013216408
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The Impacts of Monetary Policy on Banks' Loan Portfolio Risk-taking
Adão, Luiz F.S; Silveira, Douglas; Ely, Regis Augusto; … - 2021
Using an agent-based model, we investigate how monetary policy affects banks' risk-taking in terms of the profile of their lending to real sector firms. Our agent-based model considers five types of agents: banks, depositors, the Central Bank, firms, and the clearinghouse. While banks and...
Persistent link: https://www.econbiz.de/10013216653
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Nonbanks, banks, and monetary policy : U.S. loan-level evidence since the 1990s
Elliott, David; Meisenzahl, Ralf R.; Peydró, José-Luis; … - 2022
the distribution of risk via credit supply. For identification, we exploit exhaustive US loan-level data since the 1990s …, borrowerlender relationships and Gertler-Karadi monetary policy shocks. Higher policy rates shift credit supply from banks to …, higher policy rates increase risk-taking, as less-regulated, fragile nonbanks -in all credit markets- expand supply to …
Persistent link: https://www.econbiz.de/10013259697
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Risk Overhang and Loan Portfolio Decisions : Small Business Loan Supply Before and During the Financial Crisis
DeYoung, Robert - 2015
business lending during the global financial crisis. The decline in business credit was driven by increased risk overhang … elasticities suggestive of credit rationing (consistent with an increase in lender risk aversion). Nevertheless, we identify a …
Persistent link: https://www.econbiz.de/10013036540
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Are Banks' Internal Risk Parameters Consistent? Evidence from Syndicated Loans
Firestone, Simon - 2014
This paper examines consistency in the estimates of probability of default (PD) and loss given default (LGD) that nine large U.S. banks assign to syndicated loans for regulatory capital purposes. Using internal bank data on loans that had PDs and LGDs assigned by more than one bank, we find...
Persistent link: https://www.econbiz.de/10013061902
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Does capital regulation matter for bank behaviour? Evidence for German savings banks
Heid, Frank; Porath, Daniel; Stolz, Stéphanie - 2004
The aim of this paper is to assess how German savings banks adjust capital and risk under capital regulation. We estimate a modified version of the model developed by Shrieves and Dahl (1992). This paper contributes to the literature in three ways. First, we test the capital buffer theory...
Persistent link: https://www.econbiz.de/10010295890
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The supervisor's portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation
Memmel, Christoph; Wehn, Carsten - 2005
The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio composed of different commercial banks might be obtained for a...
Persistent link: https://www.econbiz.de/10010295895
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Monetary policy and bank distress: an integrated micro-macro approach
De Graeve, Ferre; Kick, Thomas - 2008
Evidence on the interdependency between monetary policy and the state of the banking system is scarce. We suggest an integrated micro-macro approach with two core virtues. First, we measure the probability of bank distress directly at the bank level. Second, we integrate a microeconomic hazard...
Persistent link: https://www.econbiz.de/10010295940