This study provides a framework for establishing Stress Test on NPAs among Priority Sector. As State Bank of India is the leading Public Sector Bank in the country, its exposure to NPAs specifically to sector based exposure on outstanding amounts and its prediction could be a guiding post for...

In this article, I compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies. My study is distinct from previous studies by including new models, considering sector correlation, and performing comprehensive sensitivity analysis....

In this paper we consider a parametric Weibull mixture cure model for modeling time to default on a personal loan portfolio in presence of disproportionate hazard rate. The main contribution of this paper is to evidence that mixture cure models are appropriate for non proportional sceneries,...

This paper examines the contrasting influence of portfolio lending and securitization in the resolution of distressed commercial real estate. The empirical analysis utilizes a large and unique data set of distressed commercial mortgages. The data set is constructed based on the recent financial...

The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost concern. The Basel Committee on Banking Supervision (2009) advises banks to use credit portfolio models with caution when assessing the capital adequacy. This paper investigates...

This study tests both of theory of traditional banking and the corporate finance theory, by examining the impact of loan portfolio concentration on banks' return and risk of 47 Indonesian conventional banks over the 2010-2014. We also take into account the different types of bank ownership...

Have banks become more similar? In this paper we test this hypothesis using data on Japanese banks' loan portfolios over the period 1996–2013. Using various similarity measures, we find that banks have in fact become less similar over time. This finding would suggest that concerns over a more...

Huge nonperforming loans portfolio erodes the ability of banks to make profits. In the 1990s and beyond many Nigerian banks became weak and highly unprofitable due to excessive nonperforming loans portfolio accumulated by bank promoters and management that led to their demise. Insider dealing...