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Working Paper
Are Banks' Internal Risk Parameters Consistent? Evidence from Syndicated Loans
This paper examines consistency in the estimates of probability of default (PD) and loss given default (LGD) that nine large U.S. banks assign to syndicated loans for regulatory capital purposes. Using internal bank data on loans that had PDs and LGDs assigned by more than one bank, we find substantial dispersion in these parameters. Banks differ substantially in PDs, but only a few set PDs systematically higher or lower than the median bank. However, many banks differ from the median bank systematically in LGDs, and these differences affect their Basel II minimum regulatory capital ...
Discussion Paper
Estimating System Demand for Reserve Balances Using the 2018 Senior Financial Officer Survey
In this Note, we introduce a range of estimates of the banking system’s contemporary demand for reserves based on newly available, confidential micro data from a Senior Financial Officer Survey (SFOS) conducted by the Federal Reserve in September 2018.
Discussion Paper
How Do U.S. Global Systemically Important Banks Lower Their Capital Surcharges?
In this note, we examine whether and how U.S. G-SIBs adjust their systemic importance indicators to lower their surcharges.
Discussion Paper
Relation Between Levels and Changes in Lending Standards Reported by Banks in the Senior Loan Officer Opinion Survey on Bank Lending Practices
This note uses bank-level answers to the Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS) to investigate the relation between levels and changes in lending standards reported by banks. We provide evidence that banks' responses about levels and changes in standards are positively correlated, although this relationship is not clear in summary statistics. These results suggest that banks’ responses to the quarterly SLOOS questions and their annual counterparts contain independent information about their lending practices.