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To securitise or to price credit default risk?

McGowan, Danny; Nguyen, Huyen - 2020 - This draft: August 31, 2020

We evaluate if lenders price or securitise mortgages to mitigate credit risk. Exploiting exogenous variation in regional credit risk created by differences in foreclosure law along US state borders, we find that financial institutions respond to the law in heterogeneous ways. In the agency...

Persistent link: https://www.econbiz.de/10012269093

Interbank credit exposures and financial stability

Schneorson, Oren - 2022

This paper investigates how interbank credit exposures affect financial stability. Policy makers often see such exposures as undermining stability by exacerbating cascading losses through the financial system. I develop a model that features a trade-off between cascading losses and risk-sharing....

Persistent link: https://www.econbiz.de/10013350529

Same same but different : credit risk provisioning under IFRS 9

Behn, Markus; Couaillier, Cyril - 2023

We analyse the impact of the adoption of expected credit loss accounting (IFRS 9) on the timeliness and potential … procyclicality of banks' loan loss provisioning. We use granular loan-level data from the euro area's credit register and investigate …

Persistent link: https://www.econbiz.de/10014362650

A holistic model validation framework for Current Expected Credit Loss (CECL) model development and implementation

Jacobs, Michael <Jr.> - In: International Journal of Financial Studies : open … 8 (2020) 2/27, pp. 1-36

The Current Expected Credit Loss (CECL) revised accounting standard for credit loss provisioning is the most important … several key modeling assumptions upon loan loss provisions. We also consider the validation of CECL model implementation or …

Persistent link: https://www.econbiz.de/10012239410

Modelling bank loan LGD of corporate and SME segments : a case study

Chalupka, Radovan (contributor); Kopecsni, Juraj (contributor) - 2008

The aim of this paper is to propose a methodology to estimate loss given default (LGD) and apply it to a set of micro … requires internally estimates of LGD to calculate risk-weighted assets and to estimate expected loss. We analyse the recovery … perform better, implying an asymmetric response of the dependent variable. -- credit risk ; bank loan ; loss given default …

Persistent link: https://www.econbiz.de/10003790262

Regulation, credit risk transfer with CDS, and bank lending

Pausch, Thilo; Welzel, Peter - 2012

We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on lending behavior and risk sensitivity of a...

Persistent link: https://www.econbiz.de/10009509090

Concentration risk under Pillar 2 : when are credit portfolios infinitely fine grained?

Gürtler, Marc; Heithecker, Dirk; Hibbeln, Martin - 2006 - This Version: 2006-10-23

The ongoing debate concerning credit concentration risk is mainly driven by the requirements on credit risk management due to Pillar 2 of Basel II since risks (e.g. concentration risk) that are not fully captured by Pillar 1 should be adequately considered in the banks' risk management. This...

Persistent link: https://www.econbiz.de/10009486442

Asset encumbrance, financial reform and the demand for collateral assets : report submitted by a Working Group established by the Committee on the Global Financial System, the grou...

Houben, Aerdt C. F. J. (contributor) - 2013

Persistent link: https://www.econbiz.de/10010126391

Bank size and risk-taking under Basel II

Hakenes, Hendrik; Schnabel, Isabel - 2006

We analyze the relationship between bank size and risk-taking under the New Basel Capital Accord. Using a model with imperfect competition and moral hazard, we show that the introduction of an internal ratings based (IRB) approach improves upon flat capital requirements if the approach is...

Persistent link: https://www.econbiz.de/10010366524

Banking reform

Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 2016

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Persistent link: https://www.econbiz.de/10011554963