2020年7月21日学术报告通知

发布时间:2020-07-20

【报告主题】Expected Loan Loss Provisioning: An Empirical Model

主讲嘉宾】芝加哥大学  陆峣博士

报告时间2020年7月21日(星期二)9:00

【参与方式】ZOOM

【内容提要】The new accounting standard requires that financial institutions provision for lifetime expected losses on their loan portfolios. We develop a model for estimating long-term expected loan losses that incorporates a wide range of bank- and aggregate level predictors of future losses. The model combines cross-sectional predictions with a high-dimensional dynamic factor model that tracks sector-wide losses over the business cycle. We show that our model predicts long-term losses out-of-sample with much greater accuracy than does the Harris et al. (2018) model, which is more effective over the short-term. As an application of the model, we construct a proxy for expected lifetime losses and measure expected loss overhang (Bushman and Williams (2015)) at the bank-quarter level. We find that the estimated lifetime losses subsume information about long-term losses contained in the reported allowances (prior to the regime change) and has an order-of-magnitude higher predictive ability. The lifetime losses are more procyclical than the reported allowances. Our evidence is also consistent with expected loss overhang distorting banks’ real decisions. The model serves as a useful benchmark to evaluate the timeliness of provisioning under the new accounting rules.