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The Contribution of (Shadow) Banks and Real Estate to Systemic Risk in China
Bellavite Pellegrini, Carlo; Cincinelli, Peter; Meoli, … - 2022
We empirically evaluate how accounting and financial variables affect the level of systemic risk in traditional and shadow banks, and in real estate finance services in China over the period 2006-2019. We also conduct some stability analysis by evaluating the impact of crisis sub-periods. We...
Persistent link: https://www.econbiz.de/10013406342
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Securitization and Moral Hazard : Evidence from Credit Score Cutoff Rules
Bubb, Ryan - 2013
the moral hazard effect of securitization on underwriting. This research design is premised on the assumption that these … cutoff rules are a response by lenders to securitization rules of thumb. We reexamine the evidence and find it is … cutoff rules in underwriting, one cannot use these same cutoff rules to learn about the effect of securitization on …
Persistent link: https://www.econbiz.de/10013095622
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Strategic Default on First and Second Lien Mortgages During the Financial Crisis
Jagtiani, Julapa - 2019
Strategic default behavior suggests that the default process is not only a matter of inability to pay. Economic costs and benefits affect the incidence and timing of defaults. As with prior research, the authors find that people default strategically as their home value falls below the mortgage...
Persistent link: https://www.econbiz.de/10012905985
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Non-Performing Loans : Logit Model Applications
Orlando, Giuseppe - 2020
Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply risk-taking is physiological, as for a lot of human activities. Among risks related to credit inter-mediation, credit risk assumes particular importance. It is most simply defined as...
Persistent link: https://www.econbiz.de/10012825265
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FinTech Marketplace Lending, Default Risk, and the Business Cycle
Azizaj, Eris - 2021
This paper explores default in the FinTech marketplace lending market using a dataset of both extensive credit and soft information for borrowers from the largest marketplace lender in the United States. I find that both macro and regional economic conditions play a role in consumer default and...
Persistent link: https://www.econbiz.de/10013242456
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Mortgage loss severities : what keeps them so high?
An, Xudong; Cordell, Larry - 2019
Mortgage loss-given-default (LGD) increased significantly when house prices plummeted and delinquencies rose during the financial crisis, but it has remained over 40 percent in recent years despite a strong housing recovery. Our results indicate that the sustained high LGDs post-crisis are due...
Persistent link: https://www.econbiz.de/10012058913
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The financial crisis and the regulation of credit rating agencies : a European banking perspective
Utzig, Siegfried - 2010
Credit rating agencies (CRAs) bear some responsibility for the financial crisis that started in 2007 and remains ongoing. This is acknowledged by policymakers, market participants, and by the agencies themselves. It soon became clear that, given the depth of the crisis, CRAs would not be able to...
Persistent link: https://www.econbiz.de/10003928094
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Credit Spread Interdependencies of European States and Banks During the Financial Crisis
Alter, Adrian - 2012
We investigate the interdependence of the default risk of several Eurozone countries (France, Germany, Italy, Ireland, Netherlands, Portugal, and Spain) and their domestic banks during the period June 2007 - May 2010, using daily credit default swaps (CDS). Bank bailout programs changed the...
Persistent link: https://www.econbiz.de/10013114736
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US Bank Credit Spreads During the Financial Crisis
Spencer, Peter - 2017
major US banking groups over the period of the financial crisis. Affine models find it hard to deal with periods of …
Persistent link: https://www.econbiz.de/10012954808
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The Financial Crisis and the Regulation of Credit Rating Agencies : A European Banking Perspective
Utzig, Siegfried - 2010
Credit rating agencies (CRAs) bear some responsibility for the financial crisis that started in 2007 and remains ongoing. This is acknowledged by policymakers, market participants, and by the agencies themselves. It soon became clear that, given the depth of the crisis, CRAs would not be able to...
Persistent link: https://www.econbiz.de/10013144643