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Are Banks Forward-Looking in Their Loan Loss Provisioning? Evidence from the Senior Loan Officer Opinion Survey (SLOOS)
Balasubramanyan, Lakshmi - 2014
This paper makes a fundamental contribution by studying loan-loss provisioning over the credit cycle as three distinct …-crisis period — is important as loan-loss provisioning is driven by different factors in each, in part due to extensive shifts in … (or in the application of) regulatory rule. We show evidence of forward-looking loan-loss provisioning by utilizing Senior …
Persistent link: https://www.econbiz.de/10013062927
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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
main risk components, the Probability of Default (PD) and the Loss Given Default (LGD) have been the subject of greater …
Persistent link: https://www.econbiz.de/10012321142
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Markets, banks, and shadow banks
Martinez-Miera, David; Repullo, Rafael - 2018
Persistent link: https://www.econbiz.de/10011961447
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To securitise or to price credit default risk?
McGowan, Danny; Nguyen, Huyen - 2020
We evaluate lenders' incentives to mitigate credit default risk through pricing or securitisation. Exploiting exogenous variation in credit default risk created by differences in foreclosure law along US state borders, we find that lenders in the mortgage market respond to the law in...
Persistent link: https://www.econbiz.de/10012238387
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To securitise or to price credit default risk?
McGowan, Danny; Nguyen, Huyen - 2020 - This draft: August 31, 2020
We evaluate if lenders price or securitise mortgages to mitigate credit risk. Exploiting exogenous variation in regional credit risk created by differences in foreclosure law along US state borders, we find that financial institutions respond to the law in heterogeneous ways. In the agency...
Persistent link: https://www.econbiz.de/10012269093
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Basel's forgotten pillar : the myth of market discipline on the forefront of Basel III
Benli, Vahit Ferhan - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 70-91
Although Basel II fortified the first two pillars with market transparency enhancing Pillar III disclosures and encouraged the usage of major Credit Rating Agencies (CRAs) such as Moody’s, Standard and Poor's, and Fitch as quasi governmental authorities to overcome asymmetric informational...
Persistent link: https://www.econbiz.de/10011455461
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Bank Regulation, Credit Ratings, and Systematic Risk
Pennacchi, George - 2012
A model is presented that shows when (Basel Accord) capital standards and (FDIC) insurance premiums primarily reflect a bank's physical expected default losses, a bank can increase its shareholder value by making loans and investing in bonds that have relatively high systematic risk. Such an...
Persistent link: https://www.econbiz.de/10013109208
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Loan Syndication under Basel II : How Credit Ratings Affect Cost of Credit?
Hasan, Iftekhar - 2020
This paper investigates how lenders react to borrowers' rating changes under heterogeneous conditions and different regulatory regimes. Our findings suggest that corporate downgrades that increase capital requirements for lending banks under the Basel II framework are associated with increased...
Persistent link: https://www.econbiz.de/10012823142
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Asset Correlation and Credit Quality : The Basel Assumption
Zanganeh, Mohammad - 2013
The relation between asset correlation and default probability is critical for determining bank regulatory capital requirements. It is assumed negative for sovereign, corporate and banking exposures by the Basel Committee on Banking Supervision. This article provides likelihood ratio tests for...
Persistent link: https://www.econbiz.de/10013090503
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Pricing Risky Bank Loans in the New Basel II Environment
Zazzara, Cristiano; Hasan, Iftekhar - 2007
Recently, banking literature has had a quest for appropriate pricing of bank loans under the new Basel II rules and has been in pursuit of possible outcomes for undertaking such credit risk. In this paper, we propose a simplified formula to price bank's corporate loans, aiming at making bank...
Persistent link: https://www.econbiz.de/10014224548