Journal of Banking & Finance Vol. 112 2020
Macroeconomic effects and frailties in the resolution of non-performing loans
Abstract
Resolution of non-performing loans is a key determinant of bank credit default losses. This paper analyzes macroeconomic and systematic frailty effects of the default resolution time for a sample of 17,395 defaulted bank loans in USA, Great Britain, and Canada. We find that frailties have a huge impact on the resolution times. In a representative sample portfolio, median resolution times more than double in a recession when compared to an expansion. This leads to highly skewed distributions of losses and considerable systematic risk of the bank portfolio.
- DOI
- 10.1016/j.jbankfin.2017.09.008
- Volume
- 112
- Pages
- 105212
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib