scholarly journals Exploring the sources of loan default clustering using survival analysis with frailty

2021 ◽  
Author(s):  
Enrique Bátiz-Zuk ◽  
Abdulkadir Mohamed ◽  
Fátima Sánchez-Cajal
Keyword(s):  
Survival Analysis ◽  
Default Risk ◽  
Banking Sector ◽  
Bank Loan ◽  
Expected Loss ◽  
Firm Level ◽  
Loan Default ◽  
Level Data ◽  
Default Rate ◽  
Systemically Important Banks

This paper investigates whether three microeconomic loan characteristics are sources of loan default clustering in the Mexican banking sector by employing survival analysis with frailty. Using a large sample of bank loan level data granted to micro, small and medium sized firms from January 2010 to 2018, we test whether classifying loans by the bank's systemic importance, industry or at individual firm level enhances the predictions of loans defaults. Our results show that loans granted by Domestic Systemically Important Banks contribute to the default clustering in micro and small firm loans. This is due to aggregate default rate levels and clusters that are large for these firms loans compared with loans provided to medium-sized firms. These findings have important implications for bank's expected loss management related to the correlated loan default risk

scholarly journals The Aggregate Consequences of Default Risk: Evidence from Firm-level Data

2020 ◽  
Author(s):  
Timothy Besley ◽  
Isabelle Roland ◽  
John Van Reenen
Keyword(s):  
Default Risk ◽  
Firm Level ◽  
Level Data ◽  
Firm Level Data

Do Financial Shocks Have Negative Effects on Small Businesses? New Evidence from Japan for the Late 1990s

2010 ◽  
Vol 10 (1) ◽  
Author(s):  
Daisuke Tsuruta
Keyword(s):  
Small Businesses ◽  
Firm Growth ◽  
Banking Sector ◽  
Credit Crunch ◽  
Economic Activities ◽  
Negative Effects ◽  
Firm Level ◽  
Level Data ◽  
Internal Funds ◽  
Low Performance

Abstract The banking literature suggests that the low performance of the banking sector can spread to real economic activities, especially small businesses. Many previous studies insist that the Japanese experience of the 1990s supports this argument. However, many studies of small businesses are often insufficient since they depend on aggregate data, even though small businesses are likely to face difficult constraints in their activities when financial problems are severe. In this study, we use firm-level data on small businesses and investigate whether bank-dependent small businesses face severe constraints on their activities, which lowers performance. Our results differ from the findings of previous work in this area. First, we show that per the widely used TANKAN statistics, the focus of many existing studies, is misleading and that a majority of respondents in this survey (at least 71%) report no worsening in the lending attitude of financial institutions in the so-called credit crunch period of 1998-1999 (or even in the 2000-2001 period). Second, using detailed firm level panel data from the Credit Risk Database, we find no significant reductions in the loans for the majority of small businesses. Third, while we do find evidence that bank-dependent firms increased reliance on internal funds during the period of the credit crunch (1998-2001), we find no evidence that this negatively impacted firm performance (as reflected in firm growth and profitability measures).

The determinants of ESG in the banking sector of MENA region: a trend or necessity?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Rim El Khoury ◽  
Nohade Nasrallah ◽  
Bahaaeddin Alareeni
Keyword(s):  
Banking Sector ◽  
Negative Impact ◽  
Positive Impact ◽  
Mena Region ◽  
Firm Level ◽  
Content Type ◽  
Country Level ◽  
Driving Mechanisms ◽  
Level Data ◽  
Level Of Economic Development

Purpose As reporting environmental, social and governance (ESG) information is not yet mandatory in all countries, it is intriguing to understand ESG’s underlying driving mechanisms. This study aims to investigate ESG determinants in the banking sector of the Middle East and North Africa countries. Design/methodology/approach The authors gather data for 38 listed banks for the period 2011–2019. The data used is threefold as follows: data related to ESG; firm-level; and country-level data. While ESG and firm’s level data are taken from Refinitiv, country-level data are extracted from the World Bank. Using panel regression, the authors test the effect of firm- and country-specific variables on the overall ESG score and its pillars. Findings Results indicate that banks’ ESG scores are negatively affected by performance and positively affected by size. The level of economic development exerts a negative impact on the environmental pillar while the social development exerts a positive impact on ESG and governance pillar. Corruption is the only country-level that gathers a homogenous effect on ESG scores. Finally, the three pillars follow heterogeneous patterns. Originality/value This study extends the scope of previous studies by introducing new country-level independent variables to contribute to the understanding of ESG antecedents.

scholarly journals The Aggregate Consequences of Default Risk: Evidence from Firm-Level Data

2020 ◽  
Author(s):  
Timothy J. Besley ◽  
John Michael Van Reenen ◽  
Isabelle A. Roland
Keyword(s):  
Default Risk ◽  
Firm Level ◽  
Level Data ◽  
Firm Level Data

scholarly journals The Aggregate Consequences of Default Risk: Evidence from Firm-Level Data

2020 ◽  
Author(s):  
Timothy J. Besley ◽  
Isabelle A. Roland ◽  
John Van Reenen
Keyword(s):  
Default Risk ◽  
Firm Level ◽  
Level Data ◽  
Firm Level Data

SINGLE VERSUS MULTIPLE BANKING RELATIONSHIPS-EVIDENCE FROM CHINESE LENDING MARKET

2017 ◽  
Vol 62 (01) ◽  
pp. 227-250 ◽  
Author(s):  
WEI YIN ◽  
KENT MATTHEWS
Keyword(s):  
Small Firms ◽  
Market Competition ◽  
Bank Loan ◽  
Medium Size ◽  
High Quality ◽  
Firm Level ◽  
Lending Relationships ◽  
Chinese Firm ◽  
Level Data ◽  
Banking Relationships

Using Chinese firm level data for 2003–2012, this paper determines the factors that drive firms to switch from single bank loan providers to multiple bank loan providers. The results show that large firms are more likely to switch from single to multiple lending relationships. This study finds that medium size and small firms of high quality are more likely to have a single borrower relationship while large and high quality firms are more likely to have multiple bank relationships. Increasing market competition decreases the probability of single bank-firm relationship.

scholarly journals External Financing Dependence and Corporate Saving in ASEAN5

2020 ◽  
Vol 20 (223) ◽  
Author(s):  
Xin Li
Keyword(s):  
Banking Sector ◽  
Saving Rate ◽  
Structural Factors ◽  
External Financing ◽  
Firm Level ◽  
The Past ◽  
Level Data ◽  
Saving Behavior ◽  
External Funds ◽  
Corporate Saving

Using firm-level data on ASEAN5, this paper studies the differential effects of macro-financial and structural factors on corporate saving behavior through the lens of external financing dependence. The finding suggests that non-financial corporations in ASEAN5 have been subject to binding financial constraints over the past two decades. Greater capital account openness or exchange rate depreciation reduces the average saving rate of industries with low dependence on external funds, while it increases the saving rate of industries with high dependence on external funds. The effects are greater for export-oriented industries. An improvement in banking sector competition, banks’ lending efficiency, or policy clarity is associated with lower saving rate of firms across the board.

Prediction of Default Risk in Peer-to-Peer Lending Using Structured and Unstructured Data

2020 ◽  
Vol 31 (1) ◽  
pp. 115-129
Author(s):  
Jei Young Lee
Keyword(s):  
Interest Rates ◽  
Default Risk ◽  
Peer To Peer ◽  
Growth Potential ◽  
Unstructured Data ◽  
Loan Default ◽  
Market Opportunities ◽  
Default Rate ◽  
Loan Interest Rates ◽  
Using Data

Using data from Lending Club, we analyzed funded loans between 2012 and 2013, the default status of which were mostly known in 2018. Our results showed that both the borrower characteristics and the conditions of the loan were significantly associated with the loan default rate. Results also showed that the sentiment of a user-written loan description influenced the borrower's loan interest rates. It contributes to expanding the scope of peer-to-peer (P2P) loan research by implementing unstructured data as a new model variable. Financial counselors need to consider the growth potential of the P2P loan market using data analysis: This will reveal niche market opportunities, enabling the development of services necessary for the safe supply of small loans at reasonable interest rates.

Carbon emissions and default risk: International evidence from firm-level data

2021 ◽  
pp. 105617
Author(s):  
Md. Nurul Kabir ◽  
Sohanur Rahman ◽  
Md. Arifur Rahman ◽  
Mumtaheena Anwar
Keyword(s):  
Carbon Emissions ◽  
Default Risk ◽  
Firm Level ◽  
International Evidence ◽  
Level Data ◽  
Firm Level Data
Sign in / Sign up

Export Citation Format

Share Document