Discriminant analysis is a classification method that can predict the group membership of a newly sampled observation. In discriminant analysis, classification of new observed data has an uncertainty. In this paper, the confidence degree is introduced to determine the confidence of classification of new observed data. Then, a Monte Carlo-based sensitivity analysis is applied to an assessment of...

The paper focuses on the effects of three different internal bank ratings – Risk-, Propertyand Creditworthiness-Rating – on the loan maturity. We use a sample of about 5,000 loans given to sole proprietors and corporate borrowers by two German banks from January 2003 till July 2005. The estimation results for corporate borrowers are consistent with Diamond’s (1991) predictions of non-monotonic ...

We explore the role of comparables in price formation. Using data on corporate loans, we exploit the lag between loans’ closing dates and their inclusion in a widely-used comparables database to identify the causal effect of past transactions on new transaction pricing. We find that comparables pricing is an important determinant of individual loan spreads, but a failure to account for the over...

Since 80s, along with the heating-up competition in finance industry and the liberalization trend of financial supervision, a tendency of integration appears in world three financial service fields, namely banking, insurance, and security. It threats the banking business. The banking industry that always possesses the core position in financial system faces enormous challenges. On the other han...

Over the last two decades, bank credit has evolved from the traditional relationship banking model to an originate-to-distribute model where banks can originate loans, earn their fee, and then sell them off to investors who desire such exposures. We show that the borrowers whose loans are sold in the secondary market underperform other bank borrowers by between 8% and 14% per year on a risk-adj...

It is commonly argued that banks play a special role in the financial system because they resolve an important information asymmetry. The recent development of an active secondary market for loans could however potentially diminish this special role. This study utilizes a unique dataset of secondary market loan prices to examine this issue. We find that new loan announcements are associated wit...