Financial intermediaries typically mitigate information asymmetries by requesting collaterals on issued loans. Banks can request internal guarantees (in particular mortgages) and/or external ones (mutual guarantees). Particular attention should be paid to the combined presence of mortgages and mutual guarantees (double coverage), in order to avoid incurring in the negative effects of excessive guarantee levels. The study examines the loan portfolios of 32 Italian banks. The sample comprises 124,267 loans made from 2008 to 2009, of which 14,832 covered by 28 supervised Mutual Guarantee Institutions (MGIs). After the development of a stepwise logistic regression, the sample is analyzed using Random Forests, an innovative high-performance model for solving classification problems. The results of this study are based on an original dataset, collected directly from financial institutions participating in the research. The conclusions reveal the opportunities for optimizing the functionality of mutual guarantees and improving the relationships MGIs-banks and MGIs-Central Guarantee Fund. For reviving the role of MGIs in the market of guarantees, the results suggest a better use of internal soft information. The availability of these information, if processed and combined in an independent qualitative valuation model developed by MGIs, could complement and support the banking methods for measuring credit risk and enrich the Central Guarantee Fund’s models for assessing borrowers’ creditworthiness.

Is the financial services industry affected by collateral overlaps? / Gai, Lorenzo; Ielasi, Federica; Bertaccini, Bruno. - In: BANCARIA. - ISSN 0005-4623. - STAMPA. - 2015 - 9(2015), pp. 18-45.

Is the financial services industry affected by collateral overlaps?

GAI, LORENZO;IELASI, FEDERICA;BERTACCINI, BRUNO
2015

Abstract

Financial intermediaries typically mitigate information asymmetries by requesting collaterals on issued loans. Banks can request internal guarantees (in particular mortgages) and/or external ones (mutual guarantees). Particular attention should be paid to the combined presence of mortgages and mutual guarantees (double coverage), in order to avoid incurring in the negative effects of excessive guarantee levels. The study examines the loan portfolios of 32 Italian banks. The sample comprises 124,267 loans made from 2008 to 2009, of which 14,832 covered by 28 supervised Mutual Guarantee Institutions (MGIs). After the development of a stepwise logistic regression, the sample is analyzed using Random Forests, an innovative high-performance model for solving classification problems. The results of this study are based on an original dataset, collected directly from financial institutions participating in the research. The conclusions reveal the opportunities for optimizing the functionality of mutual guarantees and improving the relationships MGIs-banks and MGIs-Central Guarantee Fund. For reviving the role of MGIs in the market of guarantees, the results suggest a better use of internal soft information. The availability of these information, if processed and combined in an independent qualitative valuation model developed by MGIs, could complement and support the banking methods for measuring credit risk and enrich the Central Guarantee Fund’s models for assessing borrowers’ creditworthiness.
2015 - 9
18
45
Goal 8: Decent work and economic growth
Gai, Lorenzo; Ielasi, Federica; Bertaccini, Bruno
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2158/1009522
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