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

Betz, Jennifer, Krüger, Steffen , Kellner, Ralf and Rösch, Daniel (2017) Macroeconomic effects and frailties in the resolution of non-performing loans. Journal of Banking & Finance.

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Abstract

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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Item type:Article
Date:18 September 2017
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Research groups and research centres:Center of Finance
Identification Number:
ValueType
10.1016/j.jbankfin.2017.09.008DOI
Classification:
NotationType
C23Journal of Economics Literature Classification
G21Journal of Economics Literature Classification
G33Journal of Economics Literature Classification
Keywords:bank loans; default resolution time; credit risk; systematic effects; latent factors
Dewey Decimal Classification:300 Social sciences > 310 General statistics
300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:36213
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