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745
THE DISTRIBUTION OF LOAN PORTFOLIO VALUE *
"... The amount of capital necessary to support a portfolio of debt securities depends on the probability distribution of the portfolio loss. Consider a portfolio of loans, each of which is subject to default resulting in a loss to the lender. Suppose the portfolio is financed partly by equity capital an ..."
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Cited by 20 (0 self)
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The amount of capital necessary to support a portfolio of debt securities depends on the probability distribution of the portfolio loss. Consider a portfolio of loans, each of which is subject to default resulting in a loss to the lender. Suppose the portfolio is financed partly by equity capital
German Banks ’ Loan Portfolio Composition:
"... Theoretical studies of bank existence reveal the importance of informational asym-metries (cf., for example, Diamond (1984)). This might suggest that banks specialise their loan origination in specific industries to exploit information advantages. How-ever, modern portfolio theory, although not dire ..."
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Theoretical studies of bank existence reveal the importance of informational asym-metries (cf., for example, Diamond (1984)). This might suggest that banks specialise their loan origination in specific industries to exploit information advantages. How-ever, modern portfolio theory, although
An Analysis of Loan Portfolio Management on Organization
"... The banking sector in any economy serves as a catalyst for growth and development. Banks are able to perform this role through their crucial functions of financial intermediation, provision of an efficient payment system and facilitating the implementation of monetary policies. Bank profitability is ..."
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commercial banks in Kenya. The determinants studied were loan portfolio, interest expense, and administration costs and assets value. A descriptive survey design was employed in this study. The population of the study was the management employees working for commercial banks in Kenya. The sample was accessed
1 THE DISTRIBUTION OF LOAN PORTFOLIO VALUE*
"... The amount of capital necessary to support a portfolio of debt securities depends on the probability distribution of the portfolio loss. Consider a portfolio of loans, each of which is subject to default resulting in a loss to the lender. Suppose the portfolio is financed partly by equity capital an ..."
Abstract
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The amount of capital necessary to support a portfolio of debt securities depends on the probability distribution of the portfolio loss. Consider a portfolio of loans, each of which is subject to default resulting in a loss to the lender. Suppose the portfolio is financed partly by equity capital
Risk Overhang and Loan Portfolio Decisions
, 2005
"... Abstract: 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. comm ..."
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Cited by 4 (0 self)
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Abstract: 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
Sector Concentration in Loan Portfolios and Economic Capital
, 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 multi-factor asset value model for portfolios ..."
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Cited by 9 (0 self)
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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 multi-factor asset value model
Macro Stress and Worst Case Analysis of Loan Portfolios ∗
, 2008
"... We introduce the technique of worst case search to macro stress testing. Among the macroeconomic scenarios satisfying some plausibility constraint we determine the worst case scenario which causes the most harmful loss in loan portfolios. This method has three advantages over traditional macro stres ..."
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Cited by 2 (1 self)
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We introduce the technique of worst case search to macro stress testing. Among the macroeconomic scenarios satisfying some plausibility constraint we determine the worst case scenario which causes the most harmful loss in loan portfolios. This method has three advantages over traditional macro
Bank loan portfolios and the monetary transmission mechanism
- Journal of Monetary Economics
, 2007
"... This paper investigates the portfolio behavior of bank loans following a monetary tightening. We find that real estate and consumer loans sharply decrease, while commercial and industrial (C&I) loans increase. We compare this behavior with the responses following non-monetary shocks, which also ..."
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Cited by 27 (2 self)
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This paper investigates the portfolio behavior of bank loans following a monetary tightening. We find that real estate and consumer loans sharply decrease, while commercial and industrial (C&I) loans increase. We compare this behavior with the responses following non-monetary shocks, which also
Results 1 - 10
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745
