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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
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The Impact of Organizational Downsizing on Loan Officer Specialization and Credit Defaults
Goedde-Menke, Michael - 2020
This paper studies how organizational downsizing in a bank affects loan officer specialization and the credit default …
Persistent link: https://www.econbiz.de/10012851014
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Information from Relationship Lending : Evidence from Loan Defaults in China
Chang, Chun - 2014
Using a proprietary database from a large Chinese state-owned bank, we examine whether information evolved from banking relationships predicts commercial loan default by industrial firms. We find that the bank's relationship information is significantly linked to the incidence of default, and...
Persistent link: https://www.econbiz.de/10013063634
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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 … process by various researchers and financial market participants. New regulations forced commercial banks to improve credit … value ratio, credit history and borrower's type (whether borrower receives income in that bank). Average prediction accuracy …
Persistent link: https://www.econbiz.de/10012947708
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Distressed firms, zombie firms and zombie lending : a taxonomy
Álvarez Román, Laura; Garcia-Posada, Miguel; … - 2021
-sheet insolvency whereas a zombie firm is a distressed company that has received new credit. We carry out several analyses to test the … receiving new credit. However, the main bank of a distressed firm is more reluctant to restrict the credit supply to this firm …
Persistent link: https://www.econbiz.de/10013314043
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Distressed Firms, Zombie Firms and Zombie Lending : A Taxonomy
Álvarez Román, Laura; García-Posada, Miguel; … - 2022
whereas a zombie firm is a distressed company that has received new credit. We carry out several analyses to test the validity … receiving new credit. However, the main bank of a distressed firm is more reluctant to restrict the supply of credit to such …
Persistent link: https://www.econbiz.de/10013405223
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Systematic Risk in Recovery Rates : An Empirical Analysis of Us Corporate Credit Exposures
Düllmann, Klaus - 2016
This paper presents an analytical and empirical analysis of a parsimonious model framework that accounts for a dependence of bond and bank loan recoveries on systematic risk. We extend the single risk factor model by assuming that the recovery rates also depend on this risk factor and follow a...
Persistent link: https://www.econbiz.de/10012989341
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Quality of institutions, credit markets and bankruptcy
Hainz, Christa - 2004 - August, 2004 - draft
The number of firm bankruptcies is surprisingly low in economies with poor institutions. We study a model of bank-firm relationship and show that the bank's decision to liquidate bad firms has two opposing effects. First, the bank gets a payoff if a firm is liquidated. Second, it loses the rent...
Persistent link: https://www.econbiz.de/10010440454
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Causes of non-payment of mortgage loans : theoretical and practical aspects
Mitrašević, Mirela; Bardarova, Snezana - In: UTMS journal of economics / University of Tourism and … 11 (2020) 2, pp. 138-150
Due to the significant share of mortgage loans in the portfolio structure of a large number of commercial banks, monitoring the ability of the household sector to repay debts is very important for financial stability. Since the accumulation of non-performing loans in banks' balance sheets is...
Persistent link: https://www.econbiz.de/10012427987
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Impact of Mortgage Soft Information in Loan Pricing on Default Prediction using Machine Learning
Luong, Mai; Scheule, Harald (Harry); Wanzare, Nitya - 2022
We analyse the impact of soft information on US mortgages for default prediction and provide a new measure for lender soft information that is based on the interest rates offered to borrowers and incremental to public hard information. Hard and soft information provide for a variation in annual...
Persistent link: https://www.econbiz.de/10014236050