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The surprising use of credit scoring in small business lending by community banks and the attendant effects on credit availability and risk

Berger, Allen N.; Cowan, Adrian M.; Frame, W. Scott - Federal Reserve Bank of Atlanta - 2009

The literature has documented a positive relationship between the use of credit scoring for small business loans and small business credit availability, broadly defined. However, this literature is hampered by the fact that all of the studies are based on a single 1998 survey of the very largest...

Persistent link: https://www.econbiz.de/10004965424

How consistent are credit ratings? a geographic and sectoral analysis of default risk

Ammer, John; Packer, Frank - Federal Reserve Board (Board of Governors of the … - 2000

We examine differences in default rates by sector and obligor domicile. We find evidence that credit ratings have been imperfectly calibrated across issuer sectors in the past. Controlling for year of issue and rating, default rates appear to be higher for U.S. financial firms than for U.S....

Persistent link: https://www.econbiz.de/10005368242

Estimating probabilities of default

Schuermann, Til; Hanson, Samuel - Federal Reserve Bank of New York - 2004

We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods-cohort and duration...

Persistent link: https://www.econbiz.de/10005420612

Rating risks: risk and uncertainty in an opaque industry

Morgan, Donald P. - Federal Reserve Bank of New York - 2000

The pattern of disagreement between bond raters suggests that bank and insurance firms are inherently more opaque than other firms. Moody's and Standard and Poor's split more frequently over these financial intermediaries, and the splits are more lopsided, as theory here predicts. Uncertainty...

Persistent link: https://www.econbiz.de/10005420660

Credit risk rating at large U.S. banks

Treacy, William F.; Carey, Mark S. - In: Federal Reserve Bulletin (1998) Nov, pp. 897-921

. Internal ratings are an essential ingredient of effective credit risk management for such banks, whose commercial borrowers may …, and how they are used in risk management. The article also outlines conceptual and practical difficulties currently faced …

Persistent link: https://www.econbiz.de/10005713407

Does market risk predict credit risk? : an analysis of firm risk sensitivity, evidence from South Korea

Lim, Hyoungjoo; Mali, Dafydd - In: Asia-Pacific journal of accounting & economics : APJAE 25 (2018) 1/2, pp. 235-252

Persistent link: https://www.econbiz.de/10011986366

Risk characteristics of covered bonds : monitoring beyond ratings

Grothe, Magdalena; Zeyer, Jana - 2020

This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular … cover pool and the payment structure. They offer unified risk metrics for the European covered bond universe, which ensures … granular risk indicators adds to the overall transparency of the market in the context of risk monitoring. …