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Non-Performing loans for Italian companies : when time matters. an empirical research on estimating probability to default and loss given default

Orlando, Guiseppe; Pelosi, Roberta - In: International Journal of Financial Studies : open … 8 (2020) 4/68, pp. 1-22

Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance. It is most simply defined as the...

Persistent link: https://www.econbiz.de/10012321142

Banking reform

Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 2016

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Persistent link: https://www.econbiz.de/10011554963

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

Cyclicality in losses on bank loans

Keijsers, Bart; Diris, Bart; Kole, Erik - 2015

Cyclicality in the losses of bank loans is important for bank risk management. Because loans have a different risk profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the default rate and loss given default of bank loans share a...

Persistent link: https://www.econbiz.de/10010515860

The Chicago Plan revisited : conference paper

Benes, Jaromir; Kumhof, Michael - 2014

At the height of the Great Depression a number of leading U.S. economists advanced a proposal for monetary reform that became known as the Chicago Plan. It envisaged the separation of the monetary and credit functions of the banking system, by requiring 100% reserve backing for deposits. Irving...

Persistent link: https://www.econbiz.de/10010481421

Estimating Probability of Default and Comparing It to Credit Rating Classification by Banks

Volk, Matjaz - 2013

Credit risk is the main risk in the banking sector and is as such one of key issues for financial stability. We estimate various PD models and use them in the application to credit rating classification. Models include firm specific characteristics and macroeconomic or time effects. By linking...

Persistent link: https://www.econbiz.de/10013090960

Credit Risk Model : Assessing Default Probability of Mortgage Loan Borrower

Ergeshidze, Aleksandre - 2017

Over the past decade, as a result of rapid growth of the loan portfolio and the financial crisis, importance of credit risk analysis has increased worldwide. After the global financial crisis, more attention has been paid to loan granting process by various researchers and financial market...

Persistent link: https://www.econbiz.de/10012947708

Loss Given Default of Corporate Bank Loans : Large Scale Evidence from Europe

Deborgies-Sanches, Laurence D. M. - 2014

Using a unique data set on companies' defaults provided by a consortium of 31 banks, this paper gives new insights into the determinants of the workout-loss-given-default (W-LGD): losses based on the cash flows observed between the default and the resolution times.As between 1997 and 2010, 18%...

Persistent link: https://www.econbiz.de/10013067402

Two Sides of the Same Coin Insolvency Risk Measurement and Capital Adequacy Rules for Basel III

Gan, Vincent B.Y. - 2017

This paper studies the economic and theoretical foundations of insolvency risk measurement and capital adequacy rules … measuring insolvency risk and capital adequacy in Basel III. We show how insolvency risk measurement, capital adequacy and … integrated measure of risk and capital by disentangling assets, debt and equity; the Firm Insolvency Risk Index (FIRI) that is …

Persistent link: https://www.econbiz.de/10012959099

What Drives Loss Given Default? Evidence From Commercial Real Estate Loans at Failed Banks

Johnston Ross, Emily - 2015

This paper extends what we know about loss given default (LGD) by examining a newly available dataset on commercial real estate (CRE) loan losses. These data come from 295 failed banks resolved by the FDIC using loss-share agreements between 2008 and 2013. We examine over 14,000 distressed CRE...

Persistent link: https://www.econbiz.de/10013022440

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