In this paper, we examine differences in default risks for formal, informal and semi-formal loans and analyze the determinants of default risks regarding the three credit sources, using household data for Vietnam. We find that smaller-sized households with collateral and/or a guarantor borrow primarily from formal and semi-formal lenders whereas female contractors, large-sized households and bo...

This paper deals with a capital to risk asset ratio chance-constrained optimization model in the presence of loans, treasury bill, fixed assets and non-interest earning assets. To model the dynamics of loans, we introduce a modified CreditMetrics approach. This leads to development of a deterministic convex counterpart of capital to risk asset ratio chance constraint. We pursue the scope of ana...

This paper analyzes the linear and non-linear relationship between non-performing loans bank profitability measured by Net Interest Margin for a sample of 74 Middle Eastern North African banks over period 2005–2020. We used System Generalized Method Moments (SGMM) as approach Panel Smooth Transition Regression (PSTR) model approach. The empirical results SGMM indicated that ratio NPLs negativel...

We propose a heteroscedastic regression model to identify the determinants of the dispersion in interest rates on loans granted to small and medium sized enterprises. We interpret unexplained deviations as evidence of the banks’ discretionary use of market power in the loan rate setting process. “Discretion” in the loan-pricing process is most important, we find, if: (i) loans are small and unc...

In the second half, econometric analysis (regression testing) is used to isolate the key factors affecting HAMP modification performance and to compare the performance of loans modified through HAMP with other similarly delinquent loans. The innovation in this study comes from the merging of HAMP program data with a commercial loan performance database, which allows HAMP-modified loans to be co...

*the views expressed here are those of the author and do not necessarily represent the views of the Federal reserve bank of Philadelphia or the Federal reserve system. you’ve probably heard of reverse mortgage loans. but even though these loans have been getting more attention in the media and in academia, it’s possible that you’re still not sure about what reverse mortgages really are.1 ost pe...

This paper modifies a Townsend turnpike model by letting agents stay at a location long enough to trade some consumption loans, but not long enough to support a Pareto optimal allocation. Monetary equilibria exist that are non-optimal in the absence of a scheme to pay interest on currency at a particular rate. Paying interest on currency at the optimal rate delivers a Pareto optimal allocation,...

The paper investigates the relationship between bank interest rate margins and collateral for loans issued to new ventures. The analysis finds a convex U-shaped relationship. The results indicate that while provision of collateral initially reduces bank exposure to risk (through security, more optimal levels of capital and lower moral hazard among entrepreneurs) that beyond a point the positive...