Publication

Stress tests and loan pricing—Evidence from syndicated loans

Luisa Lambertini
2021
Journal Articles

Abstract

This paper estimates the impact of stress-testing on lending spreads. We use firm-level data onsyndicated 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 testsincreased their loan pricing; (2) Loan pricing is higher for all BHCs after the commencementof the stress tests. These findings suggest that stress-test failure leads to higher spreads in thesyndicated loan market after the great financial crisis.

Official source

https://infoscience.epfl.ch/entities/publication/8233035e-d7cd-4753-8279-e23440f4a773

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Stress tests and loan pricing—Evidence from syndicated loans

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