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Working Paper
The Impact of the Current Expected Credit Loss Standard (CECL) on the Timing and Comparability of Reserves
The new forward-looking credit loss provisioning standard, CECL, is intended to promote proactive provisioning as loan loss reserves can be conditioned on expectations of the economic cycle. We study the degree to which one modeling decision?expectations about the path of future house prices ? affects the size and timing of provisions for first-lien residential mortgage portfolios. While we find that provisions are generally less pro-cyclical compared to the current incurred loss standard, CECL may complicate the comparability of provisions across banks and time. Market participants will need ...
Discussion Paper
Examining the Relationship Between Loan Pricing and Credit Risk
In this note, we focus on examining bank lenders' pricing of credit risk, and how higher loan interest rates may serve as compensation for higher credit losses. First, we study the extent to which loan-level and regional-level risk is priced at the product level.
Discussion Paper
Subprime Auto Lending: Trends in Buy Here Pay Here Auto Lending
Buy Here Pay Here (BHPH) auto dealers occupy a unique position in the auto market by serving as both the seller and financier of vehicles to their customers. This contrasts with traditional auto dealers, who connect buyers to financing options from third-party banks, credit unions, or auto finance companies, including the captive financing arms of auto manufacturers.