Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices

Autores
Elosegui, Pedro; Villamil, Anne P.
Año de publicación
2002
Idioma
inglés
Tipo de recurso
documento de conferencia
Estado
versión publicada
Descripción
In this paper we construct a model of a "risky bank". The bank faces excess demand in the loan market, can sort loan applicants by an observable measure of quality, and faces a small but positive probability of default on its loan portfolio. The bank uses two policies to allocate credit: - Tighten restrictions on loan quality - Limit the number of loans of a given quality We show that the level of default risk and other structural conditions have important e®ects on the market for loanable funds and the bank's optimal policies (loan rates, deposit rates, and lending standards). The structural conditions that we examine are monitoring costs, returns on alternative investments, firms' minimum funding requirements, and the level of the reserve requirement. The model provides insight into several stylized facts observed in loan markets, especially in developing countries.
Facultad de Ciencias Económicas
Materia
Ciencias Económicas
banco
Nivel de accesibilidad
acceso abierto
Condiciones de uso
http://creativecommons.org/licenses/by/4.0/
Repositorio
SEDICI (UNLP)
Institución
Universidad Nacional de La Plata
OAI Identificador
oai:sedici.unlp.edu.ar:10915/57459
Acceder
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oai_identifier_str oai:sedici.unlp.edu.ar:10915/57459
network_acronym_str SEDICI
repository_id_str 1329
network_name_str SEDICI (UNLP)
spelling Risky Banking: Optimal Loan Quantity and Portfolio Quality ChoicesElosegui, PedroVillamil, Anne P.Ciencias EconómicasbancoIn this paper we construct a model of a "risky bank". The bank faces excess demand in the loan market, can sort loan applicants by an observable measure of quality, and faces a small but positive probability of default on its loan portfolio. The bank uses two policies to allocate credit: - Tighten restrictions on loan quality - Limit the number of loans of a given quality We show that the level of default risk and other structural conditions have important e®ects on the market for loanable funds and the bank's optimal policies (loan rates, deposit rates, and lending standards). The structural conditions that we examine are monitoring costs, returns on alternative investments, firms' minimum funding requirements, and the level of the reserve requirement. The model provides insight into several stylized facts observed in loan markets, especially in developing countries.Facultad de Ciencias Económicas2002-10-25info:eu-repo/semantics/conferenceObjectinfo:eu-repo/semantics/publishedVersionObjeto de conferenciahttp://purl.org/coar/resource_type/c_5794info:ar-repo/semantics/documentoDeConferenciaapplication/pdfhttp://sedici.unlp.edu.ar/handle/10915/57459enginfo:eu-repo/semantics/altIdentifier/url/http://www.depeco.econo.unlp.edu.ar/semi/semi251002.pdfinfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/4.0/Creative Commons Attribution 4.0 International (CC BY 4.0)reponame:SEDICI (UNLP)instname:Universidad Nacional de La Platainstacron:UNLP2025-09-29T11:06:21Zoai:sedici.unlp.edu.ar:10915/57459Institucionalhttp://sedici.unlp.edu.ar/Universidad públicaNo correspondehttp://sedici.unlp.edu.ar/oai/snrdalira@sedici.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13292025-09-29 11:06:22.252SEDICI (UNLP) - Universidad Nacional de La Platafalse
dc.title.none.fl_str_mv Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices
title Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices
spellingShingle Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices
Elosegui, Pedro
Ciencias Económicas
banco
title_short Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices
title_full Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices
title_fullStr Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices
title_full_unstemmed Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices
title_sort Risky Banking: Optimal Loan Quantity and Portfolio Quality Choices
dc.creator.none.fl_str_mv Elosegui, Pedro
Villamil, Anne P.
author Elosegui, Pedro
author_facet Elosegui, Pedro
Villamil, Anne P.
author_role author
author2 Villamil, Anne P.
author2_role author
dc.subject.none.fl_str_mv Ciencias Económicas
banco
topic Ciencias Económicas
banco
dc.description.none.fl_txt_mv In this paper we construct a model of a "risky bank". The bank faces excess demand in the loan market, can sort loan applicants by an observable measure of quality, and faces a small but positive probability of default on its loan portfolio. The bank uses two policies to allocate credit: - Tighten restrictions on loan quality - Limit the number of loans of a given quality We show that the level of default risk and other structural conditions have important e®ects on the market for loanable funds and the bank's optimal policies (loan rates, deposit rates, and lending standards). The structural conditions that we examine are monitoring costs, returns on alternative investments, firms' minimum funding requirements, and the level of the reserve requirement. The model provides insight into several stylized facts observed in loan markets, especially in developing countries.
Facultad de Ciencias Económicas
description In this paper we construct a model of a "risky bank". The bank faces excess demand in the loan market, can sort loan applicants by an observable measure of quality, and faces a small but positive probability of default on its loan portfolio. The bank uses two policies to allocate credit: - Tighten restrictions on loan quality - Limit the number of loans of a given quality We show that the level of default risk and other structural conditions have important e®ects on the market for loanable funds and the bank's optimal policies (loan rates, deposit rates, and lending standards). The structural conditions that we examine are monitoring costs, returns on alternative investments, firms' minimum funding requirements, and the level of the reserve requirement. The model provides insight into several stylized facts observed in loan markets, especially in developing countries.
publishDate 2002
dc.date.none.fl_str_mv 2002-10-25
dc.type.none.fl_str_mv info:eu-repo/semantics/conferenceObject
info:eu-repo/semantics/publishedVersion
Objeto de conferencia
http://purl.org/coar/resource_type/c_5794
info:ar-repo/semantics/documentoDeConferencia
format conferenceObject
status_str publishedVersion
dc.identifier.none.fl_str_mv http://sedici.unlp.edu.ar/handle/10915/57459
url http://sedici.unlp.edu.ar/handle/10915/57459
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/http://www.depeco.econo.unlp.edu.ar/semi/semi251002.pdf
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by/4.0/
Creative Commons Attribution 4.0 International (CC BY 4.0)
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0/
Creative Commons Attribution 4.0 International (CC BY 4.0)
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:SEDICI (UNLP)
instname:Universidad Nacional de La Plata
instacron:UNLP
reponame_str SEDICI (UNLP)
collection SEDICI (UNLP)
instname_str Universidad Nacional de La Plata
instacron_str UNLP
institution UNLP
repository.name.fl_str_mv SEDICI (UNLP) - Universidad Nacional de La Plata
repository.mail.fl_str_mv alira@sedici.unlp.edu.ar
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