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Macroeconomic effects and frailties in the resolution of non-performing loans

Betz, Jennifer ; Krüger, Steffen ; Kellner, Ralf ; Rösch, Daniel


Resolution of non-performing loans is a key determinant of bank credit default losses. This paper analyzes macroeconomic and systematic frailty effects of the default resolution time for a sample of 17,395 defaulted bank loans in USA, Great Britain, and Canada. We find that frailties have a huge impact on the resolution times. In a representative sample portfolio, median resolution times more ...


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