Bank Credit Risk
AbstractThe paper evaluates the contribution industrial-sector data on loan losses could make to diversifying and pricing bank risk. It derives the mean, variance and cyclical sensitivity of sectoral provisions and write offs, then assesses implications for loan pricing; standards of capital adequacy; risk borne by sectorally-concentrated banks; and bank risk over time. Complementary econometric estimates for aggregate losses highlight the role of corporate gearing and rapid balance sheet growth. It is suggested all banks should collect and employ sectoral loss data, and the analysis could be borne in mind for any future renegotiation of the Basle Accord.
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Bibliographic InfoPaper provided by Bank of England in its series Bank of England working papers with number 8.
Date of creation: Apr 1993
Date of revision:
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Journal of International Money and Finance,
Elsevier, vol. 30(1), pages 1-21, February.
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- Santiago Fernández de Lis & Jorge Martínez Pagés & Jesús Saurina, 2000. "Credit Growth, Problem Loans and Credit Risk Provisioning in Spain," Banco de Espaï¿½a Working Papers 0018, Banco de Espa�a.
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