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Modeling of cash flows from nonperforming loans in a commercial bank

Devjak, Srečko - In: Naše gospodarstvo : NG 64 (2018) 4, pp. 3-9

The purpose of this paper is to derive a model for calculation of maturities and volumes of repayments that a bank may expect from nonretail nonperforming loans (hereafter NPLs). Expected inflows from nonretail NPLs follow a probability distribution, defined by size and timing of historic...

Persistent link: https://www.econbiz.de/10012021720

The role of non-performing loans for bank lending rates

Bredl, Sebastian - 2019

Against the backdrop of a high stock of non-performing loans (NPLs) in several European countries, this paper investigates the role of NPLs for lending rates charged for newly granted loans in the euro area. More precisely, it looks for an effect that extends beyond losses caused by that stock...

Persistent link: https://www.econbiz.de/10011955694

Macroeconomic and Bank-Specific Determinants of Nonperforming Loans in Greece : A Comparative Study of Mortgage, Business and Consumer Loan Portfolios

Vouldis, Angelos T.; Louzis, Dimitrios P.; Metaxas, … - 2022

This paper uses dynamic panel data methods to examine the determinants of nonperforming loans (NPLs) in the Greek banking sector, separately for each type of loan (consumer, business and mortgage loans). The study is motivated by the hypothesis that both macroeconomic and bank-specific variables...

Persistent link: https://www.econbiz.de/10013404350

Net flow rates versus roll rates as non-performing consumer loans forecasting methodologies

De Ribera Martin, Francisco de Asis - In: Revista de métodos cuantitativos para la economía y … 34 (2022), pp. 37-59

Roll rates and net flow rates can be seen as the evolution of ageing of accounts receivable and Markov chains. They are accepted methodologies to model the behavior of non-performing consumer loans by buckets and to predict losses, but we find that quite often they are wrongly used as...

Persistent link: https://www.econbiz.de/10013485817

Risk Allocation Through Securitization – Evidence From Non-Performing Loans

Wengerek, Sascha Tobias; Hippert, Benjamin; Uhde, André - 2021

Employing a unique and hand-collected sample of 648 true sale loan securitization transactions issued by 57 stock … between true sale loan securitization and the issuing banks’ non-performing loans to total assets ratios (NPLRs). We provide … in Europe indicating that issuing banks provided credit enhancement and demonstrated `skin in the game'. Our baseline …

Persistent link: https://www.econbiz.de/10013233839

An Empirical Study of Securitisations of Non-Performing Loans

Boudiaf, Ismael Alexander; Miranda, Fernando Gonzalez - 2022

After addressing the securitisation of non-performing loans (NPLs) within the broader context of the ECB’s efforts to reduce NPL stocks and inflows, we investigate the structural and pricing features of NPL securitisations, issued by large banks in the euro area, by drawing on a unique and...

Persistent link: https://www.econbiz.de/10013289296

An empirical study of securitisations of non-performing loans

Boudiaf, Ismael Alexander; González, Fernando - 2022

After addressing the securitisation of non-performing loans (NPLs) within the broader context of the ECB's efforts to reduce NPL stocks and inflows, we investigate the structural and pricing features of NPL securitisations, issued by large banks in the euro area, by drawing on a unique and...

Persistent link: https://www.econbiz.de/10013198336

Macroeconomic Effects and Frailties in the Resolution of Non-Performing Loans

Betz, Jennifer - 2018

Resolution of non-performing loans is a key determinant of bank credit default losses. This paper analyzes …

Persistent link: https://www.econbiz.de/10012927425

Financial stability assessment for EU candidate countries and potential candidates : developments since 2016

Comunale, Mariarosaria; Geis, André; Gkrintzalis, Ioannis - 2019

. High unofficial euroisation is a source of indirect credit risk for countries with their own national legal tender, which …

Persistent link: https://www.econbiz.de/10012110105

Impact of High Non-Performing Loan Ratios on Bank Lending Trends and Profitability

Jing, Eric - 2020

The goal of this paper is to explore the relationship between the specific non-performing loan ratio (NPL ratio) and the corresponding impact on the bank's profitability and lending behavior. It also seeks to investigate the macroeconomic impacts of economies with excessively high NPL ratios as...

Persistent link: https://www.econbiz.de/10012826179

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