Playing the Devil's Advocate: The Causal Effect of Risk Management on Loan Quality

• 成果类型: Article
• 署名作者: Berg, Tobias
• 署名单位: University of Bonn
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv040
• 发表日期: 2015
• 页码: 3367
• 关键词: information; performance; COSTS

摘要

This paper studies the dual role of risk managers and loan officers in a bank's organizational structure. Using 75,000 retail mortgage applications, I analyze the effect of risk-management involvement on loan default rates. The bank requires risk-management approval for loans that are considered risky based on hard information, using a sharp threshold that changes during the sample period. Using a regression discontinuity design and a difference-in-differences estimator, I am able to show that risk-management involvement reduces loan default rates by more than 50%. My findings suggest that a two-agent model can help to facilitate efficient screening decisions.