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Loan renegotiation and the long-term impact on total factor productivity

Sánchez Serrano, Antonio - In: Latin American journal of central banking : LAJCB 3 (2022) 4, pp. 1-20

factor productivity and aggregate productivity growth, as new entrants, typically using technologies that are more advanced … through lower values of provisions to total loans, has a negative effect on the change of total factor productivity (in …

Persistent link: https://www.econbiz.de/10014375471

When losses turn into loans : the cost of undercapitalized banks

Blattner, Laura; Farinha, Luísa A.; Rebelo, Francisco - 2019

We provide evidence that a weak banking sector has contributed to low productivity growth following the European … natural experiment to study the effects of reduced bank capital adequacy on productivity. Affected banks respond not only by … the resulting increase in factor misallocation accounts for 20% of the decline in productivity in Portugal in 2012. …

Persistent link: https://www.econbiz.de/10011975387

Risk Management with Variable Capital Utilization and Procyclical Collateral Capacity

Chen, Guojun; Lu, Zhongjin; Vij, Siddharth - 2021

profitability, whereas utilization is negatively correlated with liquidity. These results support the key predictions of our theory …

Persistent link: https://www.econbiz.de/10013237780

Managing Counterparty Credit Risk Via BSDEs

Lesniewski, Andrew - 2016

We discuss a general dynamic replication approach to counterparty credit risk modeling. This leads to a fundamental jump-process backward stochastic differential equation (BSDE) for the credit risk adjusted portfolio value. We then reduce the fundamental BSDE to a continuous BSDE. Depending on...

Persistent link: https://www.econbiz.de/10012985088

The information content in contingent convertible bond prices

Grinderslev, Oliver Juhler; Kristiansen, Kristian Loft - 2017

Credit institutions are to an increasing extent using Contingent Convertible Bonds (CoCos) to meet part of their capital requirements, which could suggest that the market for CoCos contains useful information on the robustness of the issuer. This paper gives a thorough introduction to CoCos -...

Persistent link: https://www.econbiz.de/10011761303

The adverse effect of contingent convertible bonds on bank stability

Ludolph, Melina - 2022

This paper examines the impact of issuing contingent convertible (CoCo) bonds on bank risk. I apply a matching-based difference-in-differences approach to banklevel data for 246 publicly traded European banks and 61 CoCo issues from 2008−2018. My estimation results reveal that issuing CoCo...

Persistent link: https://www.econbiz.de/10012801677

Investigation on the credit risk transfer effects on the banking stability and performance

Younes, R. - In: Cogent economics & finance 10 (2022) 1, pp. 1-21

Considered among of the main causes of the 2007 financial crisis, the credit risk transfer activities deserve nowadays particular attention. This study discusses the continuous effectiveness of the credit risk transfer activities by investigating their effects on the bank risk, liquidity and...

Persistent link: https://www.econbiz.de/10013435725

Financing private credit

Boyarchenko, Nina; Elias, Leonardo - 2024

Using data on balance sheets of both financial and nonfinancial sectors of the economy, we use a "demand system" approach to study how lender composition and willingness to provide credit affect the relationship between credit expansions and real activity. A key advantage of jointly modeling the...

Persistent link: https://www.econbiz.de/10014634857

Loss-given-default and macroeconomic conditions

Galow, Benjamin; Georgescu, Oana-Maria; Marques, Aurea Ponte - 2024

We study the sensitivity of the realised loss-given-default (LGD) to macroeconomic conditions by exploring Global Credit's confidential dataset on observed cash flows from defaulted loans. Given the prolonged duration of loan recovery, spanning several years, and the potential for macroeconomic...

Persistent link: https://www.econbiz.de/10015149572

New Evidence on Procyclical Bank Capital Regulation : The Role of Bank Loan Commitments

Park, Ki Young - 2018

Previous research on procyclical bank capital regulation has largely focused on the role of increased loan losses and deteriorated credit ratings in economic downturns. We focus on the role of bank loan commitments, which have been increasingly popular from the 2000s, on the procyclicality of...

Persistent link: https://www.econbiz.de/10012940367