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Collateral, type of lender and relationship banking as determinants of credit risk

Jiménez, Gabriel; Saurina, Jesús - Banco de España - 2004

role of a limited set of variables (collateral, type of lender and bank borrower relationship) while controlling for the …

Persistent link: https://www.econbiz.de/10005022225

Credit cycles, credit risk, and prudential regulation

Jiménez, Gabriel; Saurina, Jesús - Banco de España - 2005

terms of screening of borrowers and in collateral requirements. Therefore, we confirm the predictions from theoretical …

Persistent link: https://www.econbiz.de/10005155236

Credit market competition, collateral and firms' finance

Jiménez, Gabriel; Salas-Fumás, Vicente; Saurina, Jesús - Banco de España - 2006

firms of unobserved credit quality when firms pledge collateral to secure the loans. Loan data from the Spanish Credit … concentration (which is shown to be positively correlated with market power) and with the availability of collateral, although the … increase with the availability of collateral, but the increase is lower for banks operating in more concentrated credit markets …

Persistent link: https://www.econbiz.de/10005022289

Organizational distance and use of collateral for business loans

Jiménez, Gabriel; Salas-Fumás, Vicente; Saurina, Jesús - Banco de España - 2008

grants a loan and the location of the borrower) on the use of collateral for business loans by Spanish banks on the basis of … the recent lender based theory of collateral [Inderst and Mueller (2007)]. We find that, for the average borrower, the use … of collateral is higher for loans granted by local lenders than by distant ones. We also show that the difference in the …

Persistent link: https://www.econbiz.de/10005155280

Assessing the risk-return trade-off in loans portfolios

Mencía, Javier - Banco de España - 2009

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...

Persistent link: https://www.econbiz.de/10004969766

Disentangling contagion among sovereign cds spreads during the european debt crisis

Broto, Carmen; Perez-Quiros, Gabriel - Banco de España - 2013

During the last crisis, developed economies’ sovereign Credit Default Swap (hereafter CDS) premia have gained in importance as a tool for approximating credit risk. In this paper, we fit a dynamic factor model to decompose the sovereign CDS spreads of ten OECD economies into three components:...

Persistent link: https://www.econbiz.de/10010862250

Estimation of Regulatory Credit Risk Models

Montes, Carlos Pérez - Banco de España - 2013

This article estimates a general credit risk model with both macroeconomic and latent credit factors for Spanish banks during the period 2004-2010. The proposed framework allows to estimate with bank level data both the standard credit risk model of Basel II and generalized models. I fi nd...

Persistent link: https://www.econbiz.de/10010862283

Implied default barrier in credit default swap premia

Alonso, Francisco; Forte, Santiago; Marqués, José M. - Banco de España - 2006

This paper applies the methodology developed by Forte and Peña (2006) to extract the implied default point in the premium on credit default swaps (CDS). As well as considering a more extensive international sample of corporations (96 US, European and Japanese companies) and a longer time...

Persistent link: https://www.econbiz.de/10005590716

How Does Competition Impact Bank Risk-Taking?

Jiménez, Gabriel; Lopez, Jose A.; Saurina, Jesús - Banco de España - 2010

A common assumption in the academic literature is that franchise value plays a key role in limiting bank risk-taking. As market power is the primary source of franchise value, reduced competition in banking markets has been seen as promoting banking stability. We test this hypothesis using data...

Persistent link: https://www.econbiz.de/10008478833

Modeling the distribution of credit losses with observable and latent factors

Jiménez, Gabriel; Mencía, Javier - Banco de España - 2007

This paper develops a flexible and computationally efficient model to estimate the credit loss distribution of the loans in a banking system. We consider a sectorial structure, where default frequencies and the total number of loans are allowed to depend on macroeconomic conditions as well as on...

Persistent link: https://www.econbiz.de/10005155254