Publication

Stress tests and loan pricing—Evidence from syndicated loans

2021
Working Papers

Abstract

This paper estimates the impact of stress-testing on lending spreads. We use firm-level data on syndicated loans matched with bank holding company (BHC) data in our panel regressions. Using a difference-in-difference framework, we find: (1) BHCs that failed the stress tests increased their loan pricing; (2) Loan pricing is higher for all BHCs after the commencement of the stress tests. These findings suggest that stress-test failure leads to higher spreads in the syndicated loan market after the great financial crisis.

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2021
Working Papers

Abstract

Official source

Related concepts (32)

Stress test (financial)

In finance, a stress test is an analysis or simulation designed to determine the ability of a given financial instrument or financial institution to deal with an economic crisis. Instead of doing financial projection on a "best estimate" basis, a company or its regulators may do stress testing where they look at how robust a financial instrument is in certain crashes, a form of scenario analysis.

Cardiac stress test

A cardiac stress test (also referred to as a cardiac diagnostic test, cardiopulmonary exercise test, or abbreviated CPX test) is a cardiological test that measures the heart's ability to respond to external stress in a controlled clinical environment. The stress response is induced by exercise or by intravenous pharmacological stimulation. Cardiac stress tests compare the coronary circulation while the patient is at rest with the same patient's circulation during maximum cardiac exertion, showing any abnormal blood flow to the myocardium (heart muscle tissue).

Data

In common usage and statistics, data (USˈdætə; UKˈdeɪtə) is a collection of discrete or continuous values that convey information, describing the quantity, quality, fact, statistics, other basic units of meaning, or simply sequences of symbols that may be further interpreted formally. A datum is an individual value in a collection of data. Data is usually organized into structures such as tables that provide additional context and meaning, and which may themselves be used as data in larger structures.

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