| Chapter |
Title |
Description |
| 1 |
Introduction |
|
| 2 |
Literature review |
Reviews fundamentals of accounting for credit losses and
literature which has attempted to determine drivers of credit losses in the
banking system.
|
| 3 |
The Australasian banking system |
This chapter describes the operating environment of
Australasian banks through the 1980 to 2005 observation period. It also
includes profiles of institutions in the database as well as a review of
disclosure standards and rules during this observation period.
|
| 4 |
Typology of credit loss and
provisioning reporting |
Data on loan losses and provisions are widely used in
empirical research yet the process of extracting these data from published
financial accounts remains largely undocumented in the literature. This
chapter develops a typology of accounting and reporting of credit provisions
and losses by financial institutions. It then applies this typology to a
comprehensive sample of Australasian banks where one observes a great
heterogeneity of reporting such data, both between institutions and also
through time. It then documents how this typology allows the capturing of
relevant credit provision and loss data into a standardized data template
yielding equivalent informational content.
Asian FA 2006
conference paper, Auckland, July
Asian FA
2006 draft presentation slides |
| 5 |
Methodology |
Introduces a principal model to explain credit loss
experience observed. Evaluates proxies to measure credit loss experience.
Explores and presents explanatory variables that will be used for various
functional forms (to be defined in the estimation chapter).
|
| 6 |
Model estimation and results |
Evaluates a preferred functional form based on the principal
model of chapter 5. Conducts estimations for impaired asset expense (as % of
loans) as well as for a range of other dependent credit loss experience
(CLE) proxies. Explores, among other, country-specific effects and the
impact of past bank expansion. |
| 7 |
Thesis summary and conclusions |
|
