Results 1 to 10 of about 73,661 (205)
Do banks diversify loan portfolios? A tentative answer based on individual bank loan portfolios [PDF]
SSRN Electronic Journal, 2005 Theory of financial intermediation gives contradicting answers to the question whether banks should diversify or focus their loan portfolios. Our aim is to find out which of the two strategies is predominant in the German banking market.
Kamp, Andreas +2 more
core +4 more sources
Sector Concentration in Loan Portfolios and Economic Capital [PDF]
SSRN Electronic Journal, 2006 The purpose of this paper is to measure the potential impact of business-sector concentration on economic capital for loan portfolios and to explore a tractable model for its measurement. The empirical part evaluates the increase in economic capital in a
Klaus Düllmann, Nancy Masschelein
core +10 more sources
Deep treasury management for banks [PDF]
Frontiers in Artificial Intelligence, 2023 Retail banks use Asset Liability Management (ALM) to hedge interest rate risk associated with differences in maturity and predictability of their loan and deposit portfolios.
Holger Englisch +3 more
doaj +2 more sources
Does sectoral loan portfolio composition matter for the monetary policy transmission?
Economic Journal of Emerging Markets, 2022 Purpose ─ The paper empirically explores the conditioning role of loan portfolio diversification in the monetary policy pass-through via the bank lending and risk-taking channels.
Van Dan Dang, Hoang Chung Nguyen
doaj +7 more sources
Lending Diversification and Interconnectedness of the Syndicated Loan Market
Frontiers in Physics, 2021 We investigate the effects of syndicated loan network centrality on bank performance. Syndicated loan network centrality measures the similarity and influence of the other banks within a given banks network.
Gabjin Oh, A-young Park, A-young Park
doaj +1 more source
Changes in the quality of bank loan portfolios in EU countries – with the particular case of Poland
Managerial Economics, 2023 As non-performing loans (NPLs) can cause monetary crises that may turn into financial crises affecting an entire economy, monitoring them is very important.
Aneta Kosztowniak
doaj +1 more source
Risk Overhang and Loan Portfolio Decisions [PDF]
SSRN Electronic Journal, 2005 Despite operating under substantial regulatory constraints, we find that commercial banks manage their investments largely consistent with the predictions of portfolio choice models with capital market imperfections. Based on 1990-2002 data for small (assets less than $1 billion) U.S.
Robert DeYoung, Anne Gron, Andrew Winton
openaire +1 more source
Global Portfolio Credit Risk Management: The US Banks Post-Crisis Challenge
Mathematics, 2021 This paper addresses the problem of modeling credit risk for multi-product and global loan portfolios. The authors presented an improved version of the Basel Committee’s one-factor model for capital requirements calculation.
Pawel Siarka
doaj +1 more source
Znaczenie wymogów kapitałowych w sektorze bankowym
Studia i Materiały, 2022 The paper attempts to present the significance of capital requirements in the Polish banking sector, through the analysis of literature, financial reports and financial data in relation to bank risk.
Ilona Sobień
doaj +1 more source
Portfolio performance manipulation in collateralized loan obligations [PDF]
Journal of Accounting and Economics, 2016 We examine the discretionary activities that CLO managers engage in to pass monthly overcollateralization (OC) tests. These tests require a CLO’s loan portfolio value, scaled by the CLO notes’ principal balance, to be above a certain threshold. Using CLOs’ granular disclosures, we develop model-free estimates for discretionary loan fair valuation and ...
Maria Loumioti, Florin P. Vasvari
openaire +1 more source