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Author Schmieder, Christian, author

Title The impact of legislation on credit risk : comparative evidence from the United States, the United Kingdom and Germany / Christian Schmieder and Philipp Schmieder
Published [Washington, D.C.] : International Monetary Fund, [2011]
Online access available from:
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Description 1 online resource (55 pages) : illustrations
Series IMF working paper ; WP/11/55
IMF working paper ; WP/11/55
Contents Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Legal Perspective to Credit Risk and Hypotheses; A. General Aspects and Notions; B. Credit Risk and Bankruptcy Legislation; 1. Stylized Default Process; C. Credit Risk and Security Interests; III. Economic Perspective to Credit Risk; A. Probability of Default Modeling; 1. Determinants of Probability of Default Modeling; B. Loss-Given Default Modeling; 2. Determinants of Loss-Given Default Modeling; IV. Comparison of the Bankruptcy and Secured Transactions Legislation of Germany, the United Kingdom, and the United States
11. Overview Before the Bankruptcy Proceedings12. Overview After Bankruptcy Proceedings; 4. Country-Specific Evaluation of Legal System; 13. Comparison of Personal Securities; 14. Summary of Differences in Real Securities; References; Footnotes
3. Summary of Differences Between LegislationV. Net Impact of Legislation on Credit Risk; A. Method; 2. Conceptual Overview; B. Frequency of Different Bankruptcy Proceedings; 4. Frequency of Different Bankruptcy Procedures Chosen by Firms; C. Theoretical Credit Risk Parameters; Theoretical Probabilities of Defaults; Theoretical Loss-Given Defaults; 5. Overview on Loss-Given Defaults for Different Default Procedures; 6. Total LGDs Calculated Based on Analytical Concept; D. Empirical Evidence; Empirical Evidence for the PD; 7. Total Default Rate by Country; Empirical evidence for the LGD
8. Cross-Country Comparison of Undiscounted Net Proceeds (and Discounted Proceeds in Parenthesis9. Empirically Observed LGDs (Discount Rate: 12 Percent); E. Implications for Portfolio Credit Risk; 10. Portfolio Credit Risk Per Country Based on Theoretical Credit Parameters; VI. Conclusion; 1. Taxonomy of Corporate Bankruptcy Codes; 2. Overview of Credit Risk Mitigants From a Legal Perspective; 3. Typical Relationships in Personal Securities; 4. Typical Relationships in Real Securities; 3. Illustrative Example of Bankruptcy Proceedings with Credit Risk Mitigants
Summary This study investigates the link between bankruptcy and security legislation and potential credit losses faced by banks based on a cross-country study for the United States (US), the United Kingdom (UK) and Germany. Focusing on corporate credit, we find that legislation produces the highest credit risk in the US, followed by Germany, while UK law is found to be most favorable for banks. US banks gains from the higher number of informal restructurings (without losses) but lose from the low level of recovery in formal proceedings. German banks demand more credit risk mitigants than UK and US banks do, but still recover less than do UK banks. To be at par with UK banks, US banks would have to recover more than twice as much in formal proceedings, while German proceedings would have to be shortened by about one half
Bibliography Includes bibliographical references
Subject Bankruptcy -- Germany.
Bankruptcy -- Great Britain.
Bankruptcy -- United States.
Credit -- Germany -- Econometric models.
Credit -- Great Britain -- Econometric models.
Credit -- United States -- Econometric models.
Form Electronic book
Author Schmieder, Philipp, author
International Monetary Fund. Monetary and Capital Markets Department, issuing body
ISBN 1283569817