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      Commercial bank load loss recoveries

      Hess, Kurt; Grimes, Arthur
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      Economics_wp_0909.pdf
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      Hess, K. & Grimes, A. (2009). Commercial bank load loss recoveries. (Department of Economics Working Paper Series, Number 09/09). Hamilton, New Zealand: University of Waikato.
      Permanent Research Commons link: https://hdl.handle.net/10289/3653
      Abstract
      We present a new approach to analyse historical recovery rates on distressed bank assets. Our approach uses banks’ reported impaired assets and the corresponding specific provisions. The dynamics and drivers of this credit loss recovery proxy are studied for a comprehensive sample of Australian banks from 1989 to 2005. We find that macroeconomic and bank-specific factors influence banks’ estimates of loan loss recoveries, consistent with banks smoothing their earnings. In contrast with findings based on prices of distressed corporate bonds, banks record lower recoveries in years of strong economic growth.
      Date
      2009-11
      Type
      Working Paper
      Series
      Department of Economics Working Paper Series
      Report No.
      09/09
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      • Management Papers [1125]
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