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Bank Portfolio Risk and Interest Rate Spread of Risky Loans : A Methodological Analysis

Yu, Hua - 2018

The author's study analyzes, loan valuation methods using discrete time model of contingent claims analysis. In the empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of all borrowers. The results of the test supported the...

Persistent link: https://www.econbiz.de/10012920146

Loan portfolio management and bank efficiency : a comparative analysis of public, old private, and new private sector banks in India

Venugopal, Santhosh Kumar - In: Economies : open access journal 12 (2024) 4, pp. 1-17

This comparative study analyzed the impact of loan portfolio composition on the efficiency of different types of banks … in India-public sector, old private, and new private banks-in the period between 2013 and 2022. Efficiency was evaluated … sector lending, and secured lending in proportion to the overall loans-as independent factors against the efficiency score as …

Persistent link: https://www.econbiz.de/10014635950

The Impact of Non-bank Lending on Bank Efficiency : Data Envelopment Analysis of European Banks

Kondova, Galia - 2020

efficiency in the eight EU jurisdictions individually monitored under the Financial Stability Board (FSB) Global Shadow Banking … Monitoring Report in the period 2014-2016.The efficiency analysis is conducted by applying a profit-based input-oriented DEA … variable returns-to-scale model in a two-stage procedure. In the first stage, the average DEA efficiency scores are calculated …

Persistent link: https://www.econbiz.de/10012844652

Identification of a loan supply function : a cross-country test for the existence of a bank lending channel

Brissimis, Sophocles N.; Delis, Matthaios - 2022

Using the theoretical predictions of the Bernanke-Blinder (1988) model, we seek to examine the existence of a bank lending channel through the empirical identification of a loan supply function and to assess the impact of differential bank characteristics on banks’ ability to supply loans. To...

Persistent link: https://www.econbiz.de/10014080566

Determinants of Bank CDS Spreads in Europe

Samaniego-Medina, Reyes - 2016

This paper empirically analyzes the determinants of credit default swap (CDS) spreads from a sample of 45 listed European banks over the 2004-2010 period. We use variables related to accounting- and market-based data, an indicator of liquidity in the CDS market and several variables from the...

Persistent link: https://www.econbiz.de/10013006847

Diversification and the banks' risk-return-characteristics: evidence from loan portfolios of German banks

Behr, Andreas; Kamp, Andreas; Memmel, Christoph; … - 2007

Banks face a tradeoff between diversifying and focusing their loan portfolio. In this paper we carry out an empirical study for the German market to shed light on the question whether or not the benefits of risk sharing outweigh those of specialization. We use data from the Bundesbank's...

Persistent link: https://www.econbiz.de/10010295924

Blaes, Barno - 2011

This paper analyses the role of bank-related constraints in explaining the sharp slowdown in bank lending to non-financial corporations in Germany during the recent financial crisis. We use a panel approach based on a unique data set which matches the individual responses of the banks...

Persistent link: https://www.econbiz.de/10010307856

Impact of bank competition on the interest rate pass-through in the euro area

van Leuvensteijn, Michiel; Sørensen, Christoffer Kok; … - 2008

This paper analyses the impact of loan market competition on the interest rates applied by euro area banks to loans and deposits during the 1994-2004 period, using a novel measure of competition called the Boone indicator. We find evidence that stronger competition implies significantly lower...

Persistent link: https://www.econbiz.de/10011604931

Do bank loans and credit standards have an effect on output? A panel approach for the euro area

Cappiello, Lorenzo; Kadareja, Arjan; Kok, Christoffer; … - 2010

Applying the identification strategy employed by Driscoll (2004) for the United States, this paper provides empirical evidence for the existence of a bank lending channel of monetary policy transmission in the euro area. In addition, and in contrast to recent findings for the US, we find that in...

Persistent link: https://www.econbiz.de/10011605196

The euro area Bank Lending Survey matters: empirical evidence for credit and output growth

de Bondt, Gabe; Maddaloni, Angela; Peydró, José-Luis; … - 2010

This study examines empirically the information content of the euro area Bank Lending Survey for aggregate credit and output growth. The responses of the lending survey, especially those related to loans to enterprises, are a significant leading indicator for euro area bank credit and real GDP...

Persistent link: https://www.econbiz.de/10011605206

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