Are Banks' Internal Risk Parameters Consistent? Evidence from Syndicated Loans b

Description: Are Banks' Internal Risk Parameters Consistent? Evidence from Syndicated Loans by Federal Reserve Board Estimated delivery 3-12 business days Format Paperback Condition Brand New Description This study examines consistency in the estimates of probability of default (PD) and loss given default (LGD) that nine large U.S. banks assign to syndicated loans for regulatory capital purposes. Using internal bank data on loans that had PDs and LGDs assigned by more than one bank, we find substantial dispersion in these parameters. Banks differ substantially in PDs, but only a few set PDs systematically higher or lower than the median bank. However, many banks differ from the median bank systematically in LGDs, and these differences affect their Basel II minimum regulatory capital significantly. The differences in LGDs imply that, for an identical loan portfolio, the bank that sets the highest LGDs would have Basel II minimum regulatory capital twice as large as the bank that sets the lowest LGDs. We argue that these differences in risk parameters across banks can be at least partially explained by bank behavior that complies with the Basel rules. We also find a negative relation between banks LGDs and their shares in loan syndicates, suggesting that differences in risk parameters have implications beyond bank capital. Details ISBN 1503222888 ISBN-13 9781503222885 Title Are Banks' Internal Risk Parameters Consistent? Evidence from Syndicated Loans Author Federal Reserve Board Format Paperback Year 2014 Pages 36 Publisher Createspace Independent Publishing Platform GE_Item_ID:93362061; About Us Grand Eagle Retail is the ideal place for all your shopping needs! With fast shipping, low prices, friendly service and over 1,000,000 in stock items - you're bound to find what you want, at a price you'll love! Shipping & Delivery Times Shipping is FREE to any address in USA. Please view eBay estimated delivery times at the top of the listing. Deliveries are made by either USPS or Courier. We are unable to deliver faster than stated. International deliveries will take 1-6 weeks. NOTE: We are unable to offer combined shipping for multiple items purchased. This is because our items are shipped from different locations. Returns If you wish to return an item, please consult our Returns Policy as below: Please contact Customer Services and request "Return Authorisation" before you send your item back to us. Unauthorised returns will not be accepted. Returns must be postmarked within 4 business days of authorisation and must be in resellable condition. Returns are shipped at the customer's risk. We cannot take responsibility for items which are lost or damaged in transit. For purchases where a shipping charge was paid, there will be no refund of the original shipping charge. Additional Questions If you have any questions please feel free to Contact Us. Categories Baby Books Electronics Fashion Games Health & Beauty Home, Garden & Pets Movies Music Sports & Outdoors Toys

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