Banks increasingly recognize the need to measure and manage the credit risk of their loans on a portfolio basis. We … for banks to systematically identify regional and industrial credit concentrations and reduce the detected concentrations … through diversification. In recent years, the development of markets for credit securitization and credit derivatives has …

Estimating expected credit losses on banks' portfolios has long been difficult. The issue has become of increasing … develops a measure of the one-year-ahead expected rate of credit losses (ExpectedRCL) that combines various measures of credit … of expected credit losses. ExpectedRCL performs substantially better than net charge-offs in predicting one …

This study develops a timely and unbiased measure of expected credit losses. The expected rate of credit losses … (ExpectedRCL) is a linear combination of various non-discretionary credit risk-related measures disclosed by banks. ExpectedRCL … performs substantially better than net charge-offs, realized credit losses, and fair value of loans in predicting credit losses …

Theory of financial intermediation gives contradicting answers to the question whether …

Estimating expected credit losses on banks' portfolios is difficult. The issue has become of increasing interest to …-year-ahead expected rate of credit losses (ExpectedRCL) that combines various measures of credit risk disclosed by banks. It uses cross …-sectional analyses to obtain coefficients for estimating each period's measure of expected credit losses. ExpectedRCL substantially …

business lending during the global financial crisis. The decline in business credit was driven by increased risk overhang … elasticities suggestive of credit rationing (consistent with an increase in lender risk aversion). Nevertheless, we identify a …

The Current Expected Credit Loss (CECL) framework represents a new approach for calculating the allowance for credit … losses. Credit cards are the most common form of revolving consumer credit and are likely to present conceptual and modeling … challenges during CECL implementation. We look back at nine years of account level credit card data, starting with 2008, over a …

The Current Expected Credit Loss (CECL) framework represents a new approach for calculating the allowance for credit … losses. Credit cards are the most common form of revolving consumer credit and are likely to present conceptual and modeling … challenges during CECL implementation. We look back at nine years of account-level credit card data, starting with 2008, over a …