Cyclicality in losses on bank loans
基于独特数据，研究发现宏观变量、违约率和贷款损失率具有共同周期成分，区分严重和轻微损失两类贷款，其比例变化驱动损失率的周期行为，并与违约率和宏观变量相关联，导致贷款组合所需资本储备增加。
Summary Based on unique data we show that macro variables, the default rate and loss given default of bank loans share common cyclical components. The innovation in our model is the distinction between loans with either severe or mild losses. The variation in the proportion of these two types drives the cyclic behavior of the loss given default and constitutes the links with the default rate and macro variables. These links vary according to loan and borrower characteristics. During downturns, the proportion of defaults with severe losses increases, but the distribution of losses conditional on their being mild or severe does not change. although loans are monitored more closely than bonds and are more senior, the cyclical variation in their losses resembles those for bonds, albeit around a lower average level. This variation leads to an increase in the capital reserves required for loan portfolios.