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Collateral, default risk, and relationship lending : an empirical study on financial contracting

Elsas, Ralf; Krahnen, Jan Pieter - 2000 - Current draft: February 29, 2000

lending, borrower quality and collateral as a key variable in loan contract design. We used a unique data set based on the … decision-making and contract design. In particular, bank internal borrower ratings serve to evaluate borrower quality, and the … contract design is mainly driven by aspects of relationship lending and renegotiations. We found that relationship lenders or …

Persistent link: https://www.econbiz.de/10009768264

Political contributions and the price of credit risk : evidence from credit default swaps

Fang, Shunlan; Hanouna, Paul; Ovtchinnikov, Alexei V.; … - 2017

Firm political contributions are associated with lower credit default swap spreads for contributing firms. To address endogeneity, we employ novel instruments and use a set of exogenous events on campaign contribution restrictions: (a) the passage of the Bipartisan Campaign Reform Act (BCRA)...

Persistent link: https://www.econbiz.de/10011955864

Non-Performing loans for Italian companies : when time matters. an empirical research on estimating probability to default and loss given default

Orlando, Guiseppe; Pelosi, Roberta - In: International Journal of Financial Studies : open … 8 (2020) 4/68, pp. 1-22

Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance. It is most simply defined as the...

Persistent link: https://www.econbiz.de/10012321142

Contractual imperfections and the impact of crises on trade : evidence from industry-level data

Castellares, Renzo; Salas, Jorge - 2016

Persistent link: https://www.econbiz.de/10011503786

A Note on the Vasicek’s Model with the Logistic Distribution

Witzany, Jiri - 2012

The paper argues that it would be natural to replace the standard normal distribution function by the logistic function in the regulatory Basel II (Vasicek's) formula. Such a model would be in fact consistent with the standard logistic regression PD modeling approach. An empirical study based on...

Persistent link: https://www.econbiz.de/10013101704

The Empirical Relation between Credit Quality, Recovery, and Correlation

Rösch, Daniel - 2009

The majority of industry credit portfolio risk models, as well as recent scientific results, are based on isolated modules for default probabilities and recoveries in the event of default. This paper shows that these common methods lead to various econometric drawbacks when the parameters are...

Persistent link: https://www.econbiz.de/10013156612

The empirical relation between credit quality, recovery and correlation

Rösch, Daniel; Scheule, Harald - 2009

Credit risk is an important issue in many finance areas, such as the determination of cost of capital, the valuation of corporate bonds and pricing of credit derivatives. Credit risk has also been a cause and consequence of the current financial crisis. Thus, methods for measuring credit risk,...

Persistent link: https://www.econbiz.de/10003846062

An Alternative Methodology for Estimating Credit Quality Transition Matrices

Gomez-Gonzalez, Jose E; Acevedo, Paola; Garcia, … - 2008

This study presents an alternative way of estimating credit transition matrices using a hazard function model. The model is useful both for testing the validity of the Markovian assumption, frequently made in credit rating applications, and also for estimating transition matrices conditioning on...

Persistent link: https://www.econbiz.de/10014216942

Modelling and Calibration Errors in Measures of Portfolio Credit Risk

Tarashev, Nikola A.; Zhu, Haibin - 2014

This paper develops an empirical procedure for analyzing the impact of model misspecification and calibration errors on measures of portfolio credit risk. When applied to large simulated portfolios with realistic characteristics, this procedure reveals that violations of key assumptions of the...

Persistent link: https://www.econbiz.de/10014224225

Probability of Default Estimation and Validation within the Context of the Credit Cycle

Blümke, Oliver - 2018

The dependency of the individual default behavior of a firm on the state of the credit cycle is widely implemented in credit portfolio models and ultimately reflected in the Basel II one-factor model determining capital requirements. Despite this, macroeconomic variables able to represent this...

Persistent link: https://www.econbiz.de/10012909731