Достаточность залогового обеспечения как адаптируемый финансовый ковенант в банковском кредитовании

Финансы и кредит. 2018. Т. 24. № 6 (774). С. 1449–1468.

Karminsky A. M., Khon O. D.

Importance. Loan-to-value, LTV ratio, is applied in three dimensions. First, LTV as a measure of leverage, helpful to understand the spread of systemic risk in the economy. Second, we identify LTV throughout financial covenants to analyze loan’s counterparties behavior, so as testing LTV’s ability to cope with moral hazard and adverse selection problems. Finally, we implement LTV to indicate one of the credit risk component, the probability of default,  to examine specific features of risk management withal to the pricing of secured loans.

Objective.The study of collateral requirements’ impact on credit risk throughout adjusted financial covenants for bank loans.

Methods. To do the research, econometric methods are implemented, linear regressions and binary models, in particular.

Results. The prevalence of ex-post theory for collateral as adjusted financial covenant has been proved for Russian banks corporate loans. Determinants of collateral constraint (particularly, LTV ratio) are to be dynamically setup, that is served as a key advantage of adjusted financial covenants. The higher credit risks, the higher collateral requirements to pledge the loans.

Conclusion. The new approach to identify collateral requirements, throughout  LTV measures,  as adjusted financial covenants, is presented on the Russian market. The evidence of correspondence between Russian and international experience is presented by empirical tests. Interestingly is that lender’s preferences are being stronger at the time of downturns in economic activity, while economic growth neutralizes any visible behavioral favors/patterns. Hereby psychological risk components are quite essential, and should be profoundly explored in modern banking.

Keywords: кредитный риск, bank loans, credit risk, банковский кредит, collateral, залоговое обеспечение, loan-to-value, кредит/залог, adjusted financial covenant, адаптируемый финансовый ковенант