Betz, Jennifer and Krueger, Steffen and Kellner, Ralf and Roesch, Daniel (2020) Macroeconomic effects and frailties in the resolution of non-performing loans. JOURNAL OF BANKING & FINANCE, 112: 105212. ISSN 0378-4266, 1872-6372
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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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | EMPIRICAL-EVIDENCE; RECOVERY RATES; BASEL III; CHAPTER-11; BANKRUPTCY; DEFAULT; COSTS; DURATION; MODELS; Bank loans; Default resolution time; Credit risk; Systematic effects; Latent factors |
| Subjects: | 600 Technology > 650 Management & auxiliary services |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 29 Mar 2021 11:32 |
| Last Modified: | 29 Mar 2021 11:32 |
| URI: | https://pred.uni-regensburg.de/id/eprint/45009 |
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