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Default rates in the loan market for SMEs : evidence from Slovakia

Fidrmuc, Jarko; Hainz, Christa; Malesich, Anton - 2007

Banks entering an emerging market face a lot of uncertainty about the risks involved in lending. We use a unique …

Persistent link: https://www.econbiz.de/10003470476

The outbreak of the Russian banking crisis : what a surprise!

Fidrmuc, Jarko; Süß, Philipp Johann - 2009

Russian banks have been strongly influenced by the worldwide financial crisis which started in the second half of 2008 … the Russian crisis. We identified 47 Russian banks which failed after September 2008. Using the Bankscope data set, we … show that balance sheet indicators were informative about possible failures of these banks as early as 2006. The early …

Persistent link: https://www.econbiz.de/10003951770

Time-varying exchange rate basket in China from 2005 to 2009

Fidrmuc, Jarko - 2010

We use the Kalman filter to estimate the structure of the secret currency basket of the renminbi based on daily data between 2005 and 2009. The currency weights of selected currencies are modeled as stochastic processes (random walks). The official announcement of the new exchange rate regime in...

Persistent link: https://www.econbiz.de/10003997605

Optimal weights and stress banking indexes

Puddu, Stefano - 2012 - This version: March 2012

The goal of this paper is to provide alternative approaches to generate indexes in order to assess banking distress. Specifically, we focus on two groups of indexes that are based on the signalling approach and on the zero in ated Poisson models. The results show that the indexes based on these...

Persistent link: https://www.econbiz.de/10009702993

Credit constraints, heterogeneous firms and loan defaults

Fidrmuc, Jarko; Ciaian, Pavel; Kancs, D'Artis; … - 2011

In light of the recent financial and economic crisis the present paper analyzes the determinants of loan default. We employ a unique firm-level panel data of 700 bank loans given to small and medium sized enterprises in Slovakia between 2000 and 2005 to investigate three loan default hypothesis....

Persistent link: https://www.econbiz.de/10011524898

Default Rates in the Loan Market for SMEs : Evidence from Slovakia

Fidrmuc, Jarko - 2011

Financial markets in emerging economies are often perceived as more risky than those in developed countries. We investigate whether this is true for loans to SMEs using a unique unbalanced panel of nearly 700 loans made to SMEs in Slovakia between 2000 and 2005. Several probit and panel probit...

Persistent link: https://www.econbiz.de/10013121959

Were Consumer Mistakes Related to Changes in Financial Obligations Burdens?

Hanna, Sherman D. - 2012

The purpose of this paper is to examine whether the increase in the proportion of U.S. households with financial obligations greater than 40% of income was due to mistakes or over-optimism. The proportion of households paying more than 40% of income for debt, rent, vehicle leases, property...

Persistent link: https://www.econbiz.de/10013097838

The Increasing Financial Obligations Burden of U.S. Households : Who is Affected?

Hanna, Sherman D. - 2012

The purpose of this paper is to examine factors associated with changes in the proportion of households with high financial obligations ratios in the United States. The proportion of households paying more than 40% of income for debt, rent, vehicle leases, property taxes, and homeowners...

Persistent link: https://www.econbiz.de/10013106275

Estimating Probability of Default and Comparing It to Credit Rating Classification by Banks

Volk, Matjaz - 2013

characteristics and macroeconomic or time effects. By linking estimated firms' PDs with all their relations to banks we find that … crisis banks kept riskier borrowers in higher credit grades. This could be due to additional borrower-related information … that banks take into consideration in assessing borrowers' riskiness, to the lags in reclassification process or a possible …

Persistent link: https://www.econbiz.de/10013090960

Credit Risk Drivers : Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics

Bonfim, Diana - 2009

Understanding why some firms default, while others do not, is an important issue for the assessment of financial stability. In this domain, it may be interesting to understand if credit risk is driven mostly by idiosyncratic firm characteristics or by systematic factors, which simultaneously...

Persistent link: https://www.econbiz.de/10012721422