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Frank Strobel's
Scholarly Papers
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1.
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Laetitia Lepetit
University of Limoges - Faculty of Law and Economic Science Frank Strobel
University of Birmingham - Department of Economics David Dickinson
University of Birmingham - Department of Economics
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17 Mar 08
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02 Dec 09
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69
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Abstract:
We develop a stylized real options model of a bank's decision whether to foreclose on and charge off a non-performing secured loan when there is a chance of loan recovery and the expected present (net) value of potentially reclaimed collateral is uncertain. Banks' discretionary tendency to delay loan charge-offs is shown to be influenced by variability in the market for collateral and general economic conditions. This implied hypothesis of an "uncertainty dependence" aspect in loan charge-offs is empirically tested using a panel of European banks; it is shown to hold most strongly for large banks.
non-performing loan, discretionary charge-off, uncertainty dependence, real option
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2.
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Frank Strobel
University of Birmingham - Department of Economics
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14 Jan 09
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14 Jan 09
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Abstract:
We examine whether core ASEAN 3 countries might be interested in joining a financial "crisis union", allowing for the role of uncertainty by constructing a stylized real options model of the decision problem involved. We calibrate that model by proxying financial fragility with commonly used bank asset ratios and observe that, according to our criteria, a wider financial crisis union might be more attainable the more encompassing that grouping is; however, our results also reinforce the common perception of pervasive, possibly prohibitive, heterogeneity in these countries' banking and financial systems.
financial fragility, crisis union, Asia-Pacific region, real option, calibration
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3.
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Frank Strobel
University of Birmingham - Department of Economics
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25 Jan 07
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16 Mar 07
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Abstract:
We examine the real option implicit in countries' decisions on whether to join a monetary union when future benefits of this move are uncertain. Our theoretical model is calibrated for the current Euro-12 area and EU-15 outs, proxying policymakers' inflation preferences with unemployment rates, debt-to-GDP and potential-to-actual-GDP ratios. The Euro-12 area is generally ready or close to wanting to expand, whereas the EU-15 outs are unready to make that move at present and have widely varying probabilities of wanting to do so in the future, depending on the measure used.
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4.
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Céline Gondat-Larralde
Bank of England, Centre for Central Banking Studies Frank Strobel
University of Birmingham - Department of Economics
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03 Dec 09
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03 Dec 09
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Abstract:
We examine when it might be optimal for borrowers to switch providers of debt products such as their mortgage, allowing in particular for the role of uncertainty by constructing a stylized real options model of the decision problem involved. We illustrate with numerical examples, and then calibrate the model for the U.K. mortgage market for the period Oct. 1998 to Mar. 2005; significant magnitudes of trigger levels can arise even when standard switching costs are zero, providing an additional, risk-related explanation to the inertia commonly observed in borrowers' product choices.
switching, mortgage, real option, calibration
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