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Cross Country Linkages as Determinants of Procyclicality of Loan Loss Provisions – Empirical Importance of Sure Specification
Olszak, Małgorzata - 2014
integration on the transmission of economic shocks from one country to another and consequently on the sensitivity of loan loss …
Persistent link: https://www.econbiz.de/10013061097
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Does the Current Expected Credit Loss Approach Decrease the Procyclicality of Banks’ Lending?
Chen, Jing; Dou, Yiwei; Ryan, Stephen G.; Zou, Youli - 2022
In the wake of the financial crisis, policymakers expressed the concern that banks’ use of the incurred loss model … current expected credit loss (CECL) approach starting in 2020. Contrary to this concern, we hypothesize and find that banks … recorded large initial CECL adoption impacts). We also find that adopting banks increased their loan loss provisions during the …
Persistent link: https://www.econbiz.de/10013406519
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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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Lending conditions in EU : the role of credit demand and supply
Kapounek, Svatopluk; Kučerová, Zuzana; Fidrmuc, Jarko - 2017
We analyse the bank lending activity after the financial crisis and focus on bank-specific supply factors. Using a rich microeconomic dataset from Bankscope and macroeconomic shocks data, we employ OLS and 2SLS fixed effects models with banking controls, macroeconomic shocks and institutional...
Persistent link: https://www.econbiz.de/10011598900
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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 to competitor banks and those reapplying to their...
Persistent link: https://www.econbiz.de/10014500915
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Modelling bank loan LGD of corporate and SME segments : a case study
Chalupka, Radovan (contributor); Kopecsni, Juraj (contributor) - 2008
The aim of this paper is to propose a methodology to estimate loss given default (LGD) and apply it to a set of micro … in the pricing of credit risk and the measurement of bank profitability and solvency. Basel II Advance IRB Approach … requires internally estimates of LGD to calculate risk-weighted assets and to estimate expected loss. We analyse the recovery …
Persistent link: https://www.econbiz.de/10003790262
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Stress testing of the Czech banking sector
Jakubík, Petr (contributor);  … - 2008
This article presents the results of stress tests of the Czech banking sector conducted using models of credit risk and credit growth broken down by sector. The use of these models enables the stress tests to be linked to the CNB's official quarterly macroeconomic forecast. In addition, the...
Persistent link: https://www.econbiz.de/10003721287
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Assessing the Risk-Return Trade-Off in Loans Portfolios
Mencia, Javier - 2009
This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...
Persistent link: https://www.econbiz.de/10013158964
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Does the Geographic Expansion of Bank Assets Reduce Risk?
Goetz, Martin Richard - 2014
We develop a new identification strategy to evaluate the impact of the geographic expansion of bank holding company (BHC) assets across U.S. metropolitan statistical areas (MSAs) on BHC risk. We find that the geographic expansion of bank assets reduces risk. Moreover, geographic expansion...
Persistent link: https://www.econbiz.de/10013040486
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Asset encumbrance in euro area banks : analysing trends, drivers and prediction properties for individual bank crises
Berthonnaud, Pierre; Cesati, Enrico; Drudi, Maria Ludovica - 2021
Asset encumbrance is a central concept in the context of banks’ liquidity crises, as it is associated with their capacity to obtain secured funding. This occasional paper summarises the work carried out by the task force on asset encumbrance, bringing together analyses by the ECB and those...
Persistent link: https://www.econbiz.de/10012617772