Accéder directement au contenu Accéder directement à la navigation
Article dans une revue

Does uncertainty matter for loan charge-offs ?

Abstract : Using a stylized real options model, we show that discretion over the timing of charging off a non-performing loan could be economically justified when collateral values are uncertain and there is a chance of loan recovery. The implied hypothesis of an "uncertainty dependence" aspect in loan charge-offs is empirically tested and validated using a panel of European banks. A welfare-maximizing regulator might want to let banks pursue such discretionary loan charge-off behavior, with the problem of distinguishing it from alternative capital management and income smoothing objectives, while transparency-seeking accounting standards setters would presumably not. © 2011 Elsevier B.V.
Type de document :
Article dans une revue
Liste complète des métadonnées

https://hal-unilim.archives-ouvertes.fr/hal-00785626
Contributeur : Françoise Merigaud <>
Soumis le : mercredi 6 février 2013 - 15:27:27
Dernière modification le : vendredi 6 mars 2020 - 02:05:57

Lien texte intégral

Identifiants

Collections

Citation

Laetitia Lepetit, Frank Strobel, David G. Dickinson. Does uncertainty matter for loan charge-offs ?. Journal of International Financial Markets, Institutions and Money, Elsevier, 2012, 22 (2), pp.264-277. ⟨10.1016/j.intfin.2011.09.006⟩. ⟨hal-00785626⟩

Partager

Métriques

Consultations de la notice

236