Advanced Search
MyIDEAS: Login to save this paper or follow this series

O Spread de Incumprimento dos Emprestimos Bancarios

Contents:

Author Info

  • Paulo Horta

    ()

Registered author(s):

    Abstract

    In this paper we propose a discrete time model to measure the default spread for Bank loans. The model provides a closed-form solution for the short and medium term default spread, which we assume to be dependent on the default probabilities, the losses given default, the risk grades transition probabilities, seen in a Markov chain, the prime rate and the economic cycle phases. The model is tested with real data provided by a Bank, and allows one to conclude that the actual spread is, on the one hand, insufficient to cover the whole credit risk for low-risk clients and, on the other hand, excessive for high-risk clients. We believe that this study may contribute to improve the pricing for Bank loans.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.cefage.uevora.pt/en/content/download/1243/16229/version/1/file/2008_02.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by University of Evora, CEFAGE-UE (Portugal) in its series CEFAGE-UE Working Papers with number 2008_02.

    as in new window
    Length: 23 pages
    Date of creation: 2008
    Date of revision:
    Handle: RePEc:cfe:wpcefa:2008_02

    Contact details of provider:
    Postal: Colégio Espírito SANTO
    Phone: (351) 266 740 869
    Email:
    Web page: http://www.cefage.uevora.pt
    More information through EDIRC

    Related research

    Keywords: Bank loans; default spread; credit risk; probability of default; loss given default; prime rate; risk grade transition; Markov chain; economic cycle;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:cfe:wpcefa:2008_02. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Pacheco).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.