Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices

In this paper we construct a model of a "risky bank". The bank faces excess demand in the loan market, can sort loan applicants by an observable measure of quality, and faces a small but positive probability of default on its loan portfolio. The bank uses two policies to allocate credit:...

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Autores principales: Elosegui, Pedro, Villamil, Anne P.
Formato: Objeto de conferencia
Lenguaje:Inglés
Publicado: 2002
Materias:
Ciencias Económicas
banco
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/57459
http://www.depeco.econo.unlp.edu.ar/semi/semi251002.pdf
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-57459
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
banco
spellingShingle Ciencias Económicas
banco
Elosegui, Pedro
Villamil, Anne P.
Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices
topic_facet Ciencias Económicas
banco
description In this paper we construct a model of a "risky bank". The bank faces excess demand in the loan market, can sort loan applicants by an observable measure of quality, and faces a small but positive probability of default on its loan portfolio. The bank uses two policies to allocate credit: - Tighten restrictions on loan quality - Limit the number of loans of a given quality We show that the level of default risk and other structural conditions have important e®ects on the market for loanable funds and the bank's optimal policies (loan rates, deposit rates, and lending standards). The structural conditions that we examine are monitoring costs, returns on alternative investments, firms' minimum funding requirements, and the level of the reserve requirement. The model provides insight into several stylized facts observed in loan markets, especially in developing countries.
format Objeto de conferencia
Objeto de conferencia
author Elosegui, Pedro
Villamil, Anne P.
author_facet Elosegui, Pedro
Villamil, Anne P.
author_sort Elosegui, Pedro
title Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices
title_short Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices
title_full Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices
title_fullStr Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices
title_full_unstemmed Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices
title_sort risky banking: optimal loan quantity and portfolio quality choices
publishDate 2002
url http://sedici.unlp.edu.ar/handle/10915/57459
http://www.depeco.econo.unlp.edu.ar/semi/semi251002.pdf
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bdutipo_str Repositorios
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