TY - JOUR
T1 - Relationship lending, default rate and loan portfolio quality
AU - Cotugno, Matteo
AU - Stefanelli, Valeria
AU - Torluccio, Giuseppe
PY - 2013
Y1 - 2013
N2 - This article empirically verifies the existence of a connection between the relationship-oriented model and the quality of the loan portfolio, by using alternative risk measures to previous studies. Consistently with earlier literature, bank size, distance and intensity of labour are used as proxies for the relationship lending model. The main results demonstrate that the relationship lending variables are all significant contributory factors to the loan portfolio quality. Robustness tests, conducted using intermediate risk measures (Doubtful Loan Rate (DLR), Past Due Loan Rate (PDLR)), confirm the results. Our findings are consistent with the relationship lending literature, but we extend to Default Rate (DR) measurement, a new role in terms of a banking model to create loans and manage credit risk. Finally, banking literature can take advantage of the DR indicator as a proxy for the quality of loan portfolio, and we consider its strong relationship to the intermediation model chosen. © 2013 Copyright Taylor and Francis Group, LLC.
AB - This article empirically verifies the existence of a connection between the relationship-oriented model and the quality of the loan portfolio, by using alternative risk measures to previous studies. Consistently with earlier literature, bank size, distance and intensity of labour are used as proxies for the relationship lending model. The main results demonstrate that the relationship lending variables are all significant contributory factors to the loan portfolio quality. Robustness tests, conducted using intermediate risk measures (Doubtful Loan Rate (DLR), Past Due Loan Rate (PDLR)), confirm the results. Our findings are consistent with the relationship lending literature, but we extend to Default Rate (DR) measurement, a new role in terms of a banking model to create loans and manage credit risk. Finally, banking literature can take advantage of the DR indicator as a proxy for the quality of loan portfolio, and we consider its strong relationship to the intermediation model chosen. © 2013 Copyright Taylor and Francis Group, LLC.
KW - bank size
KW - credit risk
KW - distance
KW - loan portfolio quality
KW - relationship lending
KW - bank size
KW - credit risk
KW - distance
KW - loan portfolio quality
KW - relationship lending
UR - http://hdl.handle.net/10807/190185
U2 - 10.1080/09603107.2012.744133
DO - 10.1080/09603107.2012.744133
M3 - Article
SN - 0960-3107
VL - 23
SP - 573
EP - 587
JO - Applied Financial Economics
JF - Applied Financial Economics
ER -