Showing 1 - 10 of 4,612
parameters affect bank credit supply …
Persistent link: https://www.econbiz.de/10013065553
This paper examines consistency in the estimates of probability of default (PD) and loss given default (LGD) that nine large U.S. banks assign to syndicated loans for regulatory capital purposes. Using internal bank data on loans that had PDs and LGDs assigned by more than one bank, we find...
Persistent link: https://www.econbiz.de/10013061902
We estimate the causal effect of emergency credit on households' finances after a negative shock. To do so, we link … a federally-declared natural disaster, to a panel of credit records before and after the shock. We exploit a … approved. Using an instrumented difference-in-differences research design, we find that credit provision at the time of a shock …
Persistent link: https://www.econbiz.de/10015053784
We investigate the impact of the 2014 Interagency Clarification on the leverage risk premium for bank- and nonbank-originated loans. Using a novel dataset from 2011 to 2019, we show that leveraged loan spreads have declined rapidly for nonbank facilities relative to bank facilities since the...
Persistent link: https://www.econbiz.de/10012420989
on their loans than non-disaster firms. Floods reduce securitised credit in the local markets, suggesting that physical …
Persistent link: https://www.econbiz.de/10014465205
compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …
Persistent link: https://www.econbiz.de/10013158964
Using news-based government economic policy uncertainty (EPU) index of Baker et al. (2016) and bank-level data from 17 countries over the period 1998-2012, we find that government economic policy uncertainty has significant positive association with interest rates on bank gross loans....
Persistent link: https://www.econbiz.de/10012859755
Recent literature suggests that regulatory risk measures do not adequately capture the actual economic risk of bank portfolios. We shed new light on this issue by analyzing both unexpected and expected losses and their assessment according to regulatory and accounting standards. Examining a...
Persistent link: https://www.econbiz.de/10012902048
The ongoing debate concerning credit concentration risk is mainly driven by the requirements on credit risk management … adequately considered in the banks' risk management. This instruction is indeed relevant since quantifying credit portfolio risk …
Persistent link: https://www.econbiz.de/10009486442
This paper addresses the trade-off between additional loss-absorbing capacity and potentially higher bank risk-taking associated with the introduction of the Basel III Leverage Ratio. This is addressed in both a theoretical and empirical setting. Using a theoretical micro model, we show that a...
Persistent link: https://www.econbiz.de/10011662963