Home  About us  Contact
 

Collateral Value (collateral + value)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

THE PROCYCLICAL LEVERAGE EFFECT OF COLLATERAL VALUE ON BANK LOANS,EVIDENCE FROM THE TRANSACTION DATA OF TAIWAN

ECONOMIC INQUIRY, Issue 2 2007
NAN-KUANG CHEN
We investigated the empirical relationship between firms' collateral values and land-secured loans over asset price cycles. A simultaneous equation model of loan demand and supply was estimated using a transaction-level data set from Taiwan. The data set contains collateral information and identifies lenders and borrowers. We found that the value of collateralizable assets has positive and significant effects on loan amounts and that the leverage effect of collateral is procyclical to asset price cycles. Firms in the electronics industry, the star industry in the sample period, are found to borrow more than other firms do at each marginal dollar of collateral. (JEL C50, E30, G20) [source]

Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loan-to-value Ratios

EUROPEAN FINANCIAL MANAGEMENT, Issue 3 2003
Esa Jokivuolle
Abstract We present a model of risky debt in which collateral value is correlated with the possibility of default. The model is then used to study the expected loss given default, primarily as a function of collateral. The results obtained could prove useful for estimating losses given default in many popular models of credit risk which assume them constant. We also examine the problem of determining sufficient collateral to secure a loan to a desired extent. In addition to bank practitioners, regulators might find our analysis useful in reviewing banks' lending standards relative to current collateral values. In particular, the current proposals for The New (Basel) Capital Accord involve options for the use of banks' own loss given default estimates which might benefit from the analysis in this paper. [source]

Forbearance and Prompt Corrective Action

JOURNAL OF MONEY, CREDIT AND BANKING, Issue 5 2007
NARAYANA R. KOCHERLAKOTA
risky collateral; limited enforcement; banking regulation; optimal social contract This article investigates whether a bank regulator should terminate problem banks promptly or exercise forbearance. We construct a dynamic model economy in which entrepreneurs pledge collateral, borrow from banks, and invest in long-term projects. We assume that collateral value has aggregate risk over time, that in any period entrepreneurs can abscond with the projects but lose the collateral, and that depositors can withdraw deposits. We show that optimal regulation exhibits forbearance if the ex-ante probability of collapse in collateral value is sufficiently low, but exhibits prompt termination of problem banks if this probability is sufficiently high. [source]

THE PROCYCLICAL LEVERAGE EFFECT OF COLLATERAL VALUE ON BANK LOANS,EVIDENCE FROM THE TRANSACTION DATA OF TAIWAN

ECONOMIC INQUIRY, Issue 2 2007
NAN-KUANG CHEN
We investigated the empirical relationship between firms' collateral values and land-secured loans over asset price cycles. A simultaneous equation model of loan demand and supply was estimated using a transaction-level data set from Taiwan. The data set contains collateral information and identifies lenders and borrowers. We found that the value of collateralizable assets has positive and significant effects on loan amounts and that the leverage effect of collateral is procyclical to asset price cycles. Firms in the electronics industry, the star industry in the sample period, are found to borrow more than other firms do at each marginal dollar of collateral. (JEL C50, E30, G20) [source]

Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loan-to-value Ratios

EUROPEAN FINANCIAL MANAGEMENT, Issue 3 2003
Esa Jokivuolle
Abstract We present a model of risky debt in which collateral value is correlated with the possibility of default. The model is then used to study the expected loss given default, primarily as a function of collateral. The results obtained could prove useful for estimating losses given default in many popular models of credit risk which assume them constant. We also examine the problem of determining sufficient collateral to secure a loan to a desired extent. In addition to bank practitioners, regulators might find our analysis useful in reviewing banks' lending standards relative to current collateral values. In particular, the current proposals for The New (Basel) Capital Accord involve options for the use of banks' own loss given default estimates which might benefit from the analysis in this paper. [source]