Page 422 - Special Topic Session (STS) - Volume 3

STS552 Natalia Nehrebecka
Loan type (0,0011)
(PLN vs (0.00095) (0.0014) (0.0014) (0.0009) (0.0001)
other 1
currency)

0.00366** 0.0185*** 0.0319*** 0.0183*** 0.0008*** 0,0246
Guarantee
Indicator (0,0021)
(No, Yes) (0.0013) (0.0019) (0.0020) (0.0012) (0.0001)
1

0.214*** 0.255*** 0.159*** 0.0728*** 0.0013*** 0,1811
Credit lines (0,0015)
(No, Yes) (0.0009) (0.0014) (0.0014) (0.0008) (0.0001)
1
0.00334*** 0.0033*** 0.00328*** 0.0026*** 0.0001*** 0,0038
Bank firm (0,0004)
relationship (0.0002) (0.0003) (0.0003) (0.0002) (0.0001)
1

0.00138*** 0.00267*** 0.00241*** 0.000830*** 0.0000* 0,003
Age of firms (0,0001)
(0.0000) (0.0000) (0.0000) (0.0000) (0.0000)
1

0.0371*** 0.109*** 0.0720*** 0.0302*** 0.0019*** 0,0769

Size bank (0,0024)
(0.0018) (0.0026) (0.0028) (0.0017) (0.0001)
1

0.515*** 0.693*** 0.907*** 1.054*** 1.0110*** 0,8393

Intercept (0,0012)
(0.0032) (0.0046) (0.0049) (0.0030) (0.0003)
1
Note: Standard errors in parentheses; * p<0.05, ** p<0.01, *** p<0.001. Additionally,
models for all banks are estimated containing dummy variables for the different
banks in addition to the variables mentioned below. Sectors, legal form of
companies are also included in models.

Source: Authors’ calculations.

At the time of the economic downturn, the chance for the bank to recover
completely is decreasing (in the case of LGD = 0), average losses and a chance
for a total loss (LGD = 1) increase. Also calculated were 5%, 25%, 50%, 75%,
95% VaR for LGD during the business cycle and during the economic
downturn. For the probability of exceeding the loss of 5%, 25%, 50% and 75%,

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