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

被引：18
|
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.
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页数：26
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