Template-type: ReDIF-Paper 1.0
Author-Name: Brunella Bruno
Author-Name: Immacolata Marino
Author-Name: Giacomo Nocera
Title: Internal Ratings, Non-Performing Loans, and Bank Opacity:
Evidence from Analysts’ Forecasts
Abstract: We use a panel data set of large listed European banks to evaluate the effect of the usage of internal ratings-based (IRB) models on bank opacity. We find that a more intensive implementation of these models is associated with lower absolute forecast error and disagreement among analysts about bank earnings per share. The results are stronger in banks adopting the advanced version of IRB models. In these banks the negative effect of non-performing loans on bank transparency is mitigated. We deal with concerns regarding omitted variables and reverse causality using an instrumental variables approach. Our results are driven by the more in-depth disclosure of the credit risk exposures that follows the adoption of IRB models.
Classification-JEL: G20, G21, G28.  
Keywords: Bank regulation, Basel II, risk-weighted assets, transparency
Length: 73
Number: 23195
Creation-Date: 2023
File-URL: https://repec.unibocconi.it/baffic/baf/papers/cbafwp23195.pdf
File-Format: application/pdf
File-Size: 1,54
Handle: RePEc:baf:cbafwp:cbafwp23195