Are Banks’ Internal Risk Parameters Consistent? Evidence from Syndicated Loans

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• 作者：Simon Firestone ; Marcelo Rezende
• 关键词：Probability of default ; Loss given default ; Bank capital ; Syndicated loan
• 刊名：Journal of Financial Services Research
• 出版年：2016
• 出版时间：October 2016
• 年：2016
• 卷：50
• 期：2
• 页码：211-242
• 全文大小：629 KB
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Finance and Banking
  Macroeconomics and Monetary Economics
  
• 出版者：Springer Netherlands
• ISSN：1573-0735
• 卷排序：50

文摘

Syndicated loans provide an exceptional opportunity to study differences in banks’ approaches to measuring risk because many of these loans are held by more than one bank. We study differences in banks’ estimates of risk parameters used to calculate regulatory capital requirements for syndicated loans. Using internal data from nine large U.S. banks, we find significant dispersion in the probability of default (PD) and loss given default (LGD) assigned by different banks to the same loans. Banks’ PDs differ substantially, but only a few systematically set PDs higher or lower than others in a statistically significant manner. However, many banks’ estimates of LGD differ from others in a systemic manner that is statistically and economically significant, causing large differences in minimum regulatory capital. In addition, we find that banks assign lower PDs to loans of which they hold larger shares, suggesting that incentives affect risk parameters.