Collateral, type of lender and relationship banking as determinants of credit risk

Gabriel Jimenez and Jesús Saurina ()

No 414, Working Papers from Banco de España

Abstract: This paper analyses the determinants of the probability of default (PD) of bank loans. We focus the discussion on the role of a limited set of variables (collateral, type of lender and bank borrower relationship) while controlling for the other explanatory variables. The study uses information on the more than three million loans entered into by Spanish credit institutions over a complete business cycle (1988 to 2000) collected by the Bank of Spain's Credit Register (Central de Información de Riesgos). We find that collateralised loans have a higher PD, loans granted by savings banks are riskier and, finally, that a close bank borrower relationship increases the willingness to take more risk.

Keywords: credit risk; probability of default; collateral; relationship banking; credit register (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2004-08
References: Add references at CitEc
Citations: View citations in EconPapers (196)

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http://www.bde.es/f/webbde/SES/Secciones/Publicaci ... o/04/Fic/dt0414e.pdf First version, August 2004 (application/pdf)

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Journal Article: Collateral, type of lender and relationship banking as determinants of credit risk (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:0414

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