Risk overhang and loan portfolio decisions
By: Robert DeYoung, Anne Gron, Andrew Winton.
Contributors: Gron, Anne.; Winton, Andrew.
Series: Working paper series ;; WP-2005-04; Working paper series (Federal Reserve Bank of Chicago. Research Dept. : Online) ;; WP-2005-04.
Publisher: Federal Reserve Bank of Chicago
Published: 2005
Place of publication: [Chicago, Ill.]
Language: eng
Format: Electronic resource
Subjects: Bank loans.; Banks and banking.; Risk management.
Description: "Despite operating under substantial regulatory constraints, we find that commercial banks manage their investments largely consistent with the predictions of portfolio choice models with capital market imperfections.  Based on 1990-2002 data for small (assets less than $1 billion) U.S. commercial banks, net new lending to the business, real estate, and consumer sectors increased with expected sector profitability, tended to decrease with the illiquidity of existing (overhanging) loan stocks, and was responsive to correlations in cross-sector returns.  Small banks are most appropriate for this study, because they make illiquid loans and manage risk via on-balance sheet (non-hedged) diversification strategies"--Federal Reserve Bank of Chicago web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 10/22/2005.
Also available in print.
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Mode of access: World Wide Web.