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banks using a non-parametric Monte Carlo re-sampling method following Carey [1998]. Our results are based on a panel data … set containing both loan and internal rating data from the banks' complete business loan portfolios over the period 1997 … businesses in the sample is rated by both banks, we can generate loss distributions for SME, retail and corporate credit …
Persistent link: https://www.econbiz.de/10010321275
been given a central role. Although much research has been done on external ratings, much less is known about banks … the complete business loan portfolios of two Swedish banks and a credit bureau over the period 1997-2000. We study rating … portfolio with identical counterparts, substantial differences in the implied riskiness between banks. Such differences could …
Persistent link: https://www.econbiz.de/10010321298
importance of the different risks (e.g., liquidity, currency, and interest rate risks). Regarding the assessment of the soundness …
Persistent link: https://www.econbiz.de/10011283443
This paper investigates the incentives for banks to bias their internally generated risk estimates. We are able to … by low-capital banks to improve regulatory ratios. At the portfolio level, the difference in borrower probability of … credits. In addition, we find that low-capital banks' risk estimates have less explanatory power than those of high …
Persistent link: https://www.econbiz.de/10010459741
The determinants of default risk of banks in emerging economies have so far received inadequate attention in the … the economy. Public sector banks have shown significant performance in containing bad debts. Private banks have continued … banks, apart from other accepted determinants of profitability, asset size has no significant impact on profitability. …
Persistent link: https://www.econbiz.de/10010507831
This paper examines banks' disclosures and loss recognition in the financial crisis and identifies several core issues …, banks' disclosures about relevant risk exposures were relatively sparse. Such disclosures came later after major concerns … about banks' exposures had arisen in markets. Similarly, the recognition of loan losses was relatively slow and delayed …
Persistent link: https://www.econbiz.de/10012241734
banks using a non-parametric Monte Carlo re-sampling method following Carey [1998]. Our results are based on a panel data … set containing both loan and internal rating data from the banks complete business loan portfolios over the period 1997 … businesses in the sample is rated by both banks, we can generate loss distributions for SME, retail and corporate credit …
Persistent link: https://www.econbiz.de/10011583864
been given a central role. Although much research has been done on external ratings, much less is known about banks … the complete business loan portfolios of two Swedish banks and a credit bureau over the period 1997-2000. We study rating … portfolio with identical counterparts, substantial differences in the implied riskiness between banks. Such differences could …
Persistent link: https://www.econbiz.de/10011584264
lead to significant changes in the competitive environment should banks consider adding a granularity adjustment to the …
Persistent link: https://www.econbiz.de/10012101497
financial stability. Our analysis suggests that, going into the financial crisis, banks' disclosures about relevant risk … exposures were relatively sparse. Such disclosures came later after major concerns about banks' exposures had arisen in markets …. Similarly, banks delayed the recognition of loan losses. Banks' incentives seem to drive this evidence, suggesting that …
Persistent link: https://www.econbiz.de/10012011324