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Essays on Credit Risk
Kuvíková, Gabriela ; Hanousek, Jan (advisor) ; Fidrmuc, Jarko (referee) ; Podpiera, Jiří (referee)
The financial crises in the early 2000s have given prominence to the financial markets' exposure to credit risk. To minimize credit risk, the risk that a borrower will fail to meet her contractual obligations, lenders seek to identify borrowers with a high probability of default prior to granting credit. In my dissertation I examine several screening devices that lenders utilize in alleviating adverse selection present on the credit market. In the first chapter, I ask whether the existence of informal collateral signals better loan repayment. Taking advantage of a unique dataset of household loans from a Czech commercial bank, I find that housing loans without lien on the property default less compared to loans with unspecified purpose. I also show that the interest rate differential between specific purpose loans and unspecified purpose loans is systematically higher than their default rate differential. In the second chapter, I investigate the role of loan contract terms in household loan demand and performance. Utilizing a sample of accepted and rejected Czech household loans, I find that loan demand for low-income borrowers is more sensitive to liquidity constraint and loan maturity changes than to interest rate changes. The results also suggest that by reflecting the borrower's riskiness in...
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