Keeping in view that the roles of portfolio risk and the relationship between different risky lending assets in loan … valuation have not been studied empirically, this study examines the relationship between undiversiable portfolio risk and … portfolio lending with an attempt to fill the gap between the concept of portfolio risk diversification and the practice of …

empirical test, the undiversifiable risk was measured by the correlation coefficient of one borrower with the average return of … all borrowers. The results of the test supported the hypothesis of portfolio risk pricing and suggest that the spread of … loan required that the spread of loan required by risk-averse lenders is in general higher than the risk premium of the …

risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common …, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has …

many of these loans are held by more than one bank. We study differences in banks' estimates of risk parameters used to …Syndicated loans provide an exceptional opportunity to study differences in banks' approaches to measuring risk because …. In addition, we find a negative relation between banks' LGDs and their loan shares, suggesting that differences in risk …

Recent literature suggests that regulatory risk measures do not adequately capture the actual economic risk of bank … risk sensitivity, i.e., the response of Basel risk weights to asset volatility as our measure of a bank's asset portfolio … risk, is substantially higher than what has been shown so far in the literature. Despite the occasionally bad reputation …

regulatory capital twice as large as the bank that sets the lowest LGDs. We argue that these differences in risk parameters … large U.S. banks assign to syndicated loans for regulatory capital purposes. Using internal bank data on loans that had PDs … and LGDs assigned by more than one bank, we find substantial dispersion in these parameters. Banks differ substantially in …

affects a bank's risk-taking behavior and its future loan growth.Methodology – A sample of European banks (27 member countries …Objective - This paper uses a sample of annual observations of European banks to examine whether the liquidity risk … of the European Union plus U.K.) over the period of 2005 to 2019 are used in this study. Liquidity risk is measured by …

This paper studies the extent to which monetary policy may affect banks' perception of credit risk and the way banks … measure risk under the internal ratings-based approach. Specifically, we analyze the effect of different monetary policy … indicators on banks' risk weights for credit risk. We present robust evidence of the existence of the risk-taking channel in the …

The determinants of default risk of banks in emerging economies have so far received inadequate attention in the … literature. This paper seeks to study the determinants of bank asset quality and profitability using panel data techniques and … contrary to the general perception. Similarly, with regard to rural bank branches, the results reveal that aversion to rural …