Topic
Credit risk
About: Credit risk is a research topic. Over the lifetime, 18595 publications have been published within this topic receiving 382866 citations.
Papers published on a yearly basis
Papers
More filters
TL;DR: In this paper, the authors focus on manufacturing firms' innovative performance, measured by patent-based metrics, and employ exogenous variations in banking development arising from the staggered deregulation of banking activities across US states during the 1980s and 1990s.
Abstract: We present evidence that banking development plays a key role in technological progress. We focus on manufacturing firms’ innovative performance, measured by patent-based metrics, and employ exogenous variations in banking development arising from the staggered deregulation of banking activities across US states during the 1980s and 1990s. We find that interstate banking deregulation had significant beneficial effects on the quantity and quality of innovation activities, especially for firms highly dependent on external capital and located closer to entering banks. Furthermore, we find that these results are strongly driven by a greater ability of deregulated banks to geographically diversify credit risk.
425 citations
TL;DR: In this article, the authors conduct a systematic analysis of the determinants and impact of the sovereign credit ratings assigned by the two leading U.S. agencies, Moody's Investor Services and Standard and Poor's.
Abstract: The authors conduct the first systematic analysis of the determinants and impact of the sovereign credit ratings assigned by the two leading U.S. agencies, Moody's Investor Services and Standard and Poor's. Of the large number of criteria used by the two agencies, six factors appear to play an important role in determining a country's credit rating: per capita income, GDP growth, inflation, external debt, level of economic development, and default history. In addition, the authors find that sovereign ratings influence market yields - particularly those on non-investment-grade issues - independently of any correlation with publicly available information.
422 citations
TL;DR: In this paper, the authors dealt mainly with the application of financial pricing techniques to insurance problems, and presented that realistic models for asset price processes are typically incomplete, and that actuarial concepts for risk-management might prove helpful in dealing with these “unhedgeable” risks.
Abstract: Publisher Summary This chapter dealt mainly with the application of financial pricing techniques to insurance problems. However, actuarial concepts are also of increasing relevance for finance problems. This chapter presents that realistic models for asset price processes are typically incomplete. Actuarial concepts for risk-management might prove helpful in dealing with these “unhedgeable” risks. An example where such concepts are already applied, is the RAC-(risk adjusted capital) approach in insurance that has become popular among investment banks as a tool for the determination of risk capital and capital allocations. It is no coincidence that Swiss Bank Cooperation (now UBS) called one of its credit risk management systems ACRA, which stands for Actuarial Credit Risk Accounting.
421 citations
Posted Content•
TL;DR: A novel form of a market break-down is identified, which can lead to liquidity hoarding and is identified because adverse selection in the interbank market changes the opportunity cost of holding liquidity.
Abstract: We study the functioning and possible breakdown of the interbank market in the presence of counterparty risk. We allow banks to have private information about the risk of their assets. We show how banks JEL Classification: G01, G21, D82
416 citations
TL;DR: The authors analyzed the determinants of the probability of default (PD) of bank loans and found that the role of a limited set of variables (collateral, type of lender and bank-borrower relationship) while controlling for the other explanatory variables.
Abstract: This paper analyses the determinants of the probability of default (PD) of bank loans. We focus the discussion on the role of a limited set of variables (collateral, type of lender and bank–borrower relationship) while controlling for the other explanatory variables. The study uses information on the more than three million loans entered into by Spanish credit institutions over a complete business cycle (1988–2000) collected by the Bank of Spain's Credit Register (Central de Informacion de Riesgos). We find that collateralised loans have a higher PD, loans granted by savings banks are riskier and, finally, that a close bank–borrower relationship increases the willingness to take more risk.
415 citations