The purpose of this paper is to derive a model for calculation of maturities and volumes of repayments that a bank may expect from nonretail nonperforming loans (hereafter NPLs). Expected inflows from nonretail NPLs follow a probability distribution, defined by size and timing of historic...

Against the backdrop of a high stock of non-performing loans (NPLs) in several European countries, this paper investigates the role of NPLs for lending rates charged for newly granted loans in the euro area. More precisely, it looks for an effect that extends beyond losses caused by that stock...

This paper uses dynamic panel data methods to examine the determinants of nonperforming loans (NPLs) in the Greek banking sector, separately for each type of loan (consumer, business and mortgage loans). The study is motivated by the hypothesis that both macroeconomic and bank-specific variables...

Roll rates and net flow rates can be seen as the evolution of ageing of accounts receivable and Markov chains. They are accepted methodologies to model the behavior of non-performing consumer loans by buckets and to predict losses, but we find that quite often they are wrongly used as...

The goal of this paper is to explore the relationship between the specific non-performing loan ratio (NPL ratio) and the corresponding impact on the bank's profitability and lending behavior. It also seeks to investigate the macroeconomic impacts of economies with excessively high NPL ratios as...

We analyse micro and macro drivers of coverage ratios in a cross–country sample of euro area banks. Among the former, we find that coverage ratios increase with the reliance on deposit funding and when asset quality is very poor. Among the latter, coverage ratios increase with GDP growth and...

Past financial crises and recessions have revealed the importance of the economy’s condition for the loan quality. Macroeconomic determinants of the non-performing loans have been attracting considerable attention in recent years. The aim of this paper is to organize and summarize studies...

The subject of this paper is the contemporary trend in residential real estate markets in European countries and their impact on the quality of banks' housing loan portfolios. Due to the fact that these are the markets that still have not fully recovered from the previous financial crisis, and...