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...

This paper tests the validity of a single-factor (market) model to price consumer lending risk. It classifies US counties into 25 portfolios based on unemployment and nominal income growth. The results, using serious delinquency on revolving credit as default risk, show that the intercepts are...

Using a new structural model of credit risk based on the normal instead of the lognormal firm value dynamics and market price implied asset value volatility as the model volatility input, we quantify the value of credit spreads of the four largest U.S. banks had their senior unsecured bonds...

Analyzing syndicated loan and public debt originations by publicly traded U.S. firms between 2004 and 2011, we document a sharp migration from bank borrowing to either no borrowing or public debt issuance in the crisis years. We find evidence for a bank-lending channel; the migration from bank...

This paper studies a modern monetary economy: trade in both goods and securities relies on money provided by intermediaries. While money is valued for its liquidity, its creation requires costly leverage. Inflation, security prices and the transmission of monetary policy then depend on the...

This paper investigates the pricing of bank loans relative to capital market debt. The analysis relies on a novel sample of syndicated loans matched with bond spreads from the same firm on the same date. After accounting for seniority, banks earn an economically large premium relative to the...

This paper examines the asset pricing implication of loan loss provisions (LLP). LLP is a bank's dominant accrual and a key determinant of informativeness of banks' financial reports. We find banks with low LLP have significantly higher returns than banks with high-LLP. A long-short investment...

Corporate credit ratings have tightened gradually but substantially over two decades. We ex- amine whether syndicated loans correct for the conservatism. We find that they do not. The correction in spreads is greater for smaller, speculative borrowers, loans with fewer lenders and a greater lead...

Using administrative data on deposits and loans of every Norwegian with every Norwegian bank, we show that an existing deposit account makes a household more likely to hold deposits at the same bank later despite better alternatives and more likely to borrow there. Consistent with this, banks...

sing the weekly U.S. banks' balance sheet from 1975:Q1 to 2010:Q2, this paper shows that the cause to housing bubble is the credit shift from defensive liquidity assets to mortgages, rather than the non-existing 'easy credit'. The finding inspires a new systematic explanation to the recent bank...