Finance and Economics Discussion Series: Data for paper 201384
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Are Banks' Internal Risk Parameters Consistent? Evidence from Syndicated Loans
Figure 1. Difference in PDs for the Same Loan
| Difference in PDs (basis points) | Frequency (percentage) |
|---|---|
| 0.00 to 0.05 | 17.8800856531049 |
| 0.05 to 0.10 | 15.3104925053533 |
| 0.10 to 0.15 | 12.847965738758 |
| 0.15 to 0.20 | 7.65524625267666 |
| 0.20 to 0.25 | 7.49464668094219 |
| 0.25 to 0.30 | 5.67451820128481 |
| 0.30 to 0.35 | 2.51605995717344 |
| 0.35 to 0.40 | 3.90792291220556 |
| 0.40 to 0.45 | 2.67665952890792 |
| 0.45 to 0.50 | 2.51605995717346 |
| 0.50 to 0.55 | 2.51605995717344 |
| 0.55 to 0.60 | 1.44539614561028 |
| 0.60 to 0.65 | 1.71306209850107 |
| 0.65 to 0.70 | 0.535331905781578 |
| 0.70 to 0.75 | 0.96359743040686 |
| 0.75 to 0.80 | 0.749464668094213 |
| 0.80 to 0.85 | 0.802997858672383 |
| 0.85 to 0.90 | 0.374732334047101 |
| 0.90 to 0.95 | 0.321199143468953 |
| 0.95 to 1.00 | 0.267665952890794 |
| More than 1.00 | 11.830835117773 |
Figure 2. Difference in LGDs for the Same Loan
| Difference in LGDs (percentage points) | Frequency (percentage) |
|---|---|
| 0.0 to 2.5 | 10.5460385438972 |
| 2.5 to 5.0 | 11.9379014989293 |
| 5.0 to 7.5 | 9.796573875803 |
| 7.5 to 10.0 | 10.3854389721627 |
| 10.0 to 12.5 | 10.9207708779443 |
| 12.5 to 15.0 | 11.2955032119914 |
| 15.0 to 17.5 | 8.35117773019272 |
| 17.5 to 20.0 | 7.76231263383298 |
| 20.0 to 22.5 | 5.62098501070664 |
| 22.5 to 25.0 | 2.8372591006424 |
| 25.0 to 27.5 | 3.26552462526767 |
| 27.5 to 30.0 | 1.01713062098501 |
| 30.0 to 32.5 | 2.30192719486082 |
| 32.5 to 35.0 | 1.01713062098501 |
| 35.0 to 37.5 | 1.39186295503212 |
| 37.5 to 40.0 | 0.107066381156318 |
| 40.0 to 42.5 | 0.374732334047112 |
| 42.5 to 45.0 | 0.160599571734477 |
| 45.0 to 47.5 | 0.214132762312624 |
| 47.5 to 50.0 | 0.107066381156318 |
| 50.0 to 52.5 | 0.214132762312635 |
| 52.5 to 55.0 | 0.107066381156318 |
| 55.0 to 57.5 | 0.267665952890794 |
| 57.5 to 60.0 | 0 |
Figure 3. Joint Distribution of Average PD and LGD Differences from Median Bank
| PD (basis points) | LGD (percentage points) |
|---|---|
| -0.616 | 3.444 |
| 0.073 | 4.718 |
| 0.421 | -12.793 |
| 0 | -1.824 |
| 0.008 | 0 |
| 0.448 | 5.87 |
| -0.123 | 17.438 |
| -0.325 | -5.487 |
| -0.333 | -5.584 |
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