arXiv subjects

Miguel A. Duran

Publications and source records attributed to Miguel A. Duran.

4 recordsLinked to original sources

arXiv2024

Pricing and Usage: An Empirical Analysis of Lines of Credit

The hypothesis that committed revolving credit lines with fixed spreads can provide firms with interest rate insurance is a standard feature of models on these credit facilities' interest rate structure. Nevertheless, this hypothesis has not been tested. Its empirical examination is the main contribution of this paper. To perform this analysis, and given the unavailability of data, we hand-collect data on usage at the credit line level itself. The resulting dataset enables us also to take into account characteristics of credit lines that have been ignored by previous research. One of them is that credit lines can have simultaneously fixed and performance-based spreads.

econ.GN↗

arXiv2024

Are Charter Value and Supervision Aligned? A Segmentation Analysis

Previous work suggests that the charter value hypothesis is theoretically grounded and empirically supported, but not universally. Accordingly, this paper aims to perform an analysis of the relations between charter value, risk taking, and supervision, taking into account the relations' complexity. Specifically, using the CAMELS rating system as a general framework for supervision, we study how charter value relates to risk and supervision by means of classification and regression tree analysis. The sample covers the period 2005-2016 and consists of listed banks in countries that were members of the Eurozone when it came into existence, along with Greece. To evaluate the crisis consequences, we also separately analyze four subperiods and countries that required financial aid from third parties and those that did not so, along with large and small banks. Our results reflect the complexity of the relations between charter value, supervision, and risk. Indeed, supervision and charter value seem aligned regarding only some types of risk

q-fin.RM↗

arXiv2024

The Risk-Return Relation in the Corporate Loan Market

This paper analyzes the hypothesis that returns play a risk-compensating role in the market for corporate revolving lines of credit. Specifically, we test whether borrower risk and the expected return on these debt instruments are positively related. Our main findings support this prediction, in contrast to the only previous work that examined this problem two decades ago. Nevertheless, we find evidence of mispricing regarding the risk of deteriorating firms using their facilities more intensively and during the subprime crisis.

econ.GN↗

arXiv2024

Business Model Contributions to Bank Profit Performance: A Machine Learning Approach

This paper analyzes the relation between bank profit performance and business models. Using a machine learning-based approach, we propose a methodological strategy in which balance sheet components' contributions to profitability are the identification instruments of business models. We apply this strategy to the European Union banking system from 1997 to 2021. Our main findings indicate that the standard retail-oriented business model is the profile that performs best in terms of profitability, whereas adopting a non-specialized business profile is a strategic decision that leads to poor profitability. Additionally, our findings suggest that the effect of high capital ratios on profitability depends on the business profile. The contributions of business models to profitability decreased during the Great Recession. Although the situation showed signs of improvement afterward, the European Union banking system's ability to yield returns is still problematic in the post-crisis period, even for the best-performing group.

econ.GN↗