Macroeconomic effects and frailties in the resolution of non-performing loans

被引：19

作者：

Betz, Jennifer ^{[1
]}

Krueger, Steffen ^{[1
]}

Kellner, Ralf ^{[1
]}

Roesch, Daniel ^{[1
]}

机构：

[1] Univ Regensburg, Chair Stat & Risk Management, Fac Business Econ & Business Informat Syst, D-93040 Regensburg, Germany

来源：

JOURNAL OF BANKING & FINANCE | 2020年 / 112卷

关键词：

Bank loans; Default resolution time; Credit risk; Systematic effects; Latent factors; EMPIRICAL-EVIDENCE; RECOVERY RATES; BASEL III; CHAPTER-11; BANKRUPTCY; DEFAULT; COSTS; DURATION; MODELS;

D O I：

10.1016/j.jbankfin.2017.09.008

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Resolution of non-performing loans is a key determinant of bank credit default losses. This paper analyzes macroeconomic and systematic frailty effects of the default resolution time for a sample of 17,395 defaulted bank loans in USA, Great Britain, and Canada. We find that frailties have a huge impact on the resolution times. In a representative sample portfolio, median resolution times more than double in a recession when compared to an expansion. This leads to highly skewed distributions of losses and considerable systematic risk of the bank portfolio. (C) 2017 Elsevier B.V. All rights reserved.

引用

页数：26

共 36 条

[1] The link between default and recovery rates: Theory, empirical evidence, and implications [J].