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Nonperforming Loans in CESEE – What Do They Comprise?

Barisitz, Stephan - In: Focus on European Economic Integration (2011) 4, pp. 46-68

systems in ten Central, Eastern and Southeastern European (CESEE) countries, namely Bulgaria, Croatia, the Czech Republic … – loss”) are typically identified as nonperforming loans. Third, NPL definitions of CESEE and other countries regularly refer … study takes a rough comparative snapshot of the development of NPLs (based on the derived threshold) in the CESEE countries …

Persistent link: https://www.econbiz.de/10009369225

Nonperforming Loans in Western Europe – A Selective Comparison of Countries and National Definitions

Barisitz, Stephan - In: Focus on European Economic Integration (2013) 1, pp. 28-47

As a follow-up study to the author’s previous paper on “Nonperforming Loans in CESEE – What Do They Comprise?”, the …

Persistent link: https://www.econbiz.de/10011015340

Nonperforming loans in CESEE - a brief update on their definitions and recent developments

Barisitz, Stephan - In: Focus on European economic integration (2019) 2, pp. 61-74

Persistent link: https://www.econbiz.de/10012194210

Nonperforming loans in CESEE : an even deeper definitional comparison

Barisitz, Stephan - In: Focus on European economic integration (2013) 3, pp. 64-81

Persistent link: https://www.econbiz.de/10009793362

The SSM at 1

Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 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/10011557140

US Bank Credit Spreads During the Financial Crisis

Spencer, Peter D. - 2017

This paper argues that first passage time models are likely to better than affine hazard rate models in modelling stressed credit markets and confirms their superior performance in explaining the behavior of Credit Default Swap rates for the major US banking groups over the period of the...

Persistent link: https://www.econbiz.de/10012954808

Can Contingent Convertibles Help Private Asset Managers Fund Their Acquisition of Non-Performing Loans from Portuguese Banks?

Santos, André Oliveira - 2019

This paper analyzes the capital structure of private asset managers in which theacquisition of nonperforming loans (NPLs) is funded with Contingent Convertibles(CoCos) placed with investors. The paper develops a model based on NPL transferprices and residual recovery rates to assess capital...

Persistent link: https://www.econbiz.de/10012868458

Intermediary-Based Loan Pricing

Mabille, Pierre; Wang, Olivier - 2021

We study how shocks to banks transmit to both the price and non-price terms of loans, in a model of multidimensional contracting between heterogeneous risky borrowers and intermediaries with limited lending capacity. The elasticities of loan demand and default rates to interest rates are...

Persistent link: https://www.econbiz.de/10013311061

Rollover Risk and Market Freezes

Acharya, Viral V; Gale, Douglas M; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2009

We consider the debt capacity of a risky asset when debt is being rolled over and there is a liquidation cost in case of default. We show that debt capacity depends on how information about the quality of the asset is revealed. When the information structure is based on “optimistic”...

Persistent link: https://www.econbiz.de/10004980204

Is the Jump-Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds

Xiao, Tim - 2015

This paper argues that the reduced-form jump diffusion model may not be appropriate for credit risk modeling. To correctly value hybrid defaultable financial instruments, e.g., convertible bonds, we present a new framework that relies on the probability distribution of a default jump rather than...

Persistent link: https://www.econbiz.de/10013035532