Discussant remarks on Andrew Felton and Joseph B Nichols' paper "Commercial real estate loan performance at failed US banks"
نویسندگان
چکیده
This is a very nice paper, well motivated and based on a unique dataset. Using loan-level data from community banks entering Federal Deposit Insurance Corporation (FDIC) receivership, the paper estimates the probability of default (PD) and loss-given default (LGD) of two distinct types of commercial real estate (CRE) loans. The authors also compare commercial real estate loans in community banks to those in commercial mortgage-backed security (CMBS) pools and those in large banks.
منابع مشابه
Banks and Real Estate: Regulating the Unholy Alliance
Banking and real estate have always had an uneasy relationship. It was not until early this century that national banks were even permitted to extend loans collateralized by real estate. To this day, national banks, bank holding companies, and many state-chartered banks are prohibited from owning real estate directly, except when obtained through foreclosure or if used for bank premises.~ In ad...
متن کامل159-2008: Identifying Potential Default Loan Applicants: A Case Study of Consumer Credit Decision for Chinese Commercial Bank
Consumer credit is a lucrative but risky business. In order to control risk and maximize profits, commercial banks around the world have made great efforts to develop various analytic models to identify potential default loan applicants. This is also critically important to China, as the non-performing individual loans of Chinese commercial banks have been fast growing because of the myopic bus...
متن کاملLender Moral Hazard and Reputation in Originate-to-Distribute Markets∗
In a dynamic model of originate-to-distribute lending, we examine whether reputation concerns can incentivize a bank to monitor loans it has sold. Investors believe that banks with fewer recent loan defaults are more likely to monitor (“have higher reputation”). In equilibrium, banks monitor more and retain a smaller loan fraction when their reputations are high. Monitoring is harder to sustain...
متن کاملCascading Failures in Bi-partite Graphs: Model for Systemic Risk Propagation
As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking network model composed of banks and bank assets and propose a cascading failure model to describe the risk propagation process during crises. We empirically test t...
متن کاملACCOUNTING WORKSHOP “Using Loan Loss Indicators by Loan Type to Sharpen the Evaluation of the Determinants and Implications of Banks’ Loan Loss Accruals”
We show that the determinants and economic implications of the primary loan loss indicators reported in financial reports—non-performing loans (NPL), the allowance and provision for loan losses (ALL and PLL), and net loan charge-offs (NLCO)—vary dramatically across real estate, commercial, and consumer loan types, because these types differ in their homogeneity and collateralization and thus in...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2012