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We present a stochastic simulation forecasting model for stress testing aimed at assessing banks' capital adequacy, financial fragility and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on which it is...
Persistent link: https://www.econbiz.de/10012936094
We examine the roles of information sharing, strength of legal rights and bank size on the procyclical effect of bank …
Persistent link: https://www.econbiz.de/10012936121
We present an empirical study of stress testing for portfolios of auto loans. We find that loans aged five years or more have significantly higher default probabilities. This finding raises concerns about the increasing maturity of auto loans in recent years. A challenge in stress testing is the...
Persistent link: https://www.econbiz.de/10012937351
We investigate systematic changes in banks' projected credit losses between the 2014 and 2016 EBA stress tests, employing methodology from Philippon et al. (2017). We find that projected credit losses were smoothed across the tests through systematic model adjustments. Those banks whose losses...
Persistent link: https://www.econbiz.de/10012941122
/substitution effects of both bank- and portfolio-level variables with the characteristics of the banking sector when explaining credit risk …The purpose of this paper is to investigate the main drivers of the change in the credit risk provisions at a portfolio …- and portfolio-level aspects, we verify whether the published results show some kind of relation with these explanatory …
Persistent link: https://www.econbiz.de/10012822183
in line with the economic conditions they face. Bank responses feed back to the macroeconomic environment affecting …
Persistent link: https://www.econbiz.de/10012822724
in bank capital requirements. Intuitively, higher capital requirements raise banks' skin in the game and screening out …
Persistent link: https://www.econbiz.de/10012822744
This study investigated the impact of banking integration on recipient country bank default risk and, in particular … study found that banking integration lowers bank default risk in recipient countries. The foreign claims that Asian lenders …
Persistent link: https://www.econbiz.de/10012822943
the corresponding impact on the bank's profitability and lending behavior. It also seeks to investigate the macroeconomic …
Persistent link: https://www.econbiz.de/10012826179
observe provisioning practices before and after disclosure becomes mandatory. Our findings suggest that bank managers use loan … pressure and highlights the role of depositors and public pressure in the monitoring of bank managers. We exploit cross …
Persistent link: https://www.econbiz.de/10012826235