Loan loss measurement and bank lending
Abstract/Contents
- Abstract
- I use both theoretical and empirical models to assess how alternative measurement approaches to banks' loan loss allowances affect lending when banks are subject to regulatory capital requirements. I find that: (1) the Current Expected Credit Loss (CECL) method increases loan loss reserves on average by 16% relative to the Incurred Credit Loss (ICL) method; (2) the difference between CECL loan loss allowances and ICL loan loss allowances is larger in economic downturns than upswings; (3) banks reduce lending on average by 3.15% (50 basis points) when switching from ICL to CECL; and (4) CECL results in less procyclical lending than ICL, specifically, the difference between lending in up- vs. downturns decreases by 0.8% (37 basis points) when moving from ICL to CECL
Description
| Type of resource | text |
|---|---|
| Form | electronic resource; remote; computer; online resource |
| Extent | 1 online resource |
| Place | California |
| Place | [Stanford, California] |
| Publisher | [Stanford University] |
| Copyright date | 2021; ©2021 |
| Publication date | 2021; 2021 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Author | Huber, Stefan Johann |
|---|---|
| Degree supervisor | Beyer, Anne |
| Thesis advisor | Beyer, Anne |
| Thesis advisor | Barth, Mary E |
| Thesis advisor | Reiss, Peter C. (Peter Clemens) |
| Degree committee member | Barth, Mary E |
| Degree committee member | Reiss, Peter C. (Peter Clemens) |
| Associated with | Stanford University, Graduate School of Business |
Subjects
| Genre | Theses |
|---|---|
| Genre | Text |
Bibliographic information
| Statement of responsibility | Stefan Johann Huber |
|---|---|
| Note | Submitted to the Gradaute School of Business |
| Thesis | Thesis Ph.D. Stanford University 2021 |
| Location | https://purl.stanford.edu/hk996zw7122 |
Access conditions
- Copyright
- © 2021 by Stefan Johann Huber
- License
- This work is licensed under a Creative Commons Attribution Non Commercial 3.0 Unported license (CC BY-NC).
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