Reference number: SBEAV-SY20
Start date of studentship: 1st October 2020
Closing date of advert: 14 March 220
Primary supervisor: Professor Andrew Vivian
Secondary supervisor: Dr Stavroula Yfanti
This project contributes to the recent empirical research on Non-Performing Loan (NPL) dynamics in Europe with a focus on the macroeconomic drivers, feedback effects, and spillovers of NPL build ups in the European banks’ balance sheets post-crisis. Learning more about this macro-financial phenomenon will help us forecast the future NPL pattern across different institutional settings with significant policy and industry implications.
You will be part of a unique project with real world impact on policy making and financial institutions credit risk strategies. The chance to work on the much-debated macro-financial linkages will give you the career prospects to continue in central banking, financial services industry or further research in leading institutions.
Loughborough University is a top-ten rated university in England for research intensity (REF2014). In choosing Loughborough for your research, you’ll work alongside academics who are leaders in their field. You will benefit from comprehensive support and guidance from our Doctoral College, including tailored careers advice, to help you succeed in your research and future career.
Find out more: http://www.lboro.ac.uk/study/postgraduate/supporting-you/research/
Full Project Detail
The global financial crisis of 2008 re-ignited discussions about the importance of macro-financial linkages, and bidirectional feedback effects between the real economy and the financial sector. Europe experienced a sharp increase of Non-Performing Loans (NPLs) following the recent crisis, threatening the solvency of banks and the health status of the whole financial system. Although the quality deterioration of loan portfolios was attributed to the crisis and the subsequent recession, the persistence of high NPL levels has been recognised as a damaging drag for economic recovery.
This project will contribute to the NPL modelling framework by incorporating economy-wide aggregate proxies as well as examining spillovers in NPLs and feedback of NPLs to the real economy. The project is extremely timely given the necessity for NPLs macro-modelling under the regulatory requirements of IFRS 9 Expected Credit Loss model and supervisory stress tests.
The successful applicant will need high grades in a Master’s degree in a related subject and a strong background in Finance and Econometrics. Programming skills will be beneficial. A strong work ethic and genuine enthusiasm for innovative research are essential.
Find out more: http://www.lboro.ac.uk/departments/sbe/study/phd/
UK Masters degree (with average programme mark of no less than 65%) or International equivalent. English Language requirement of IELTS band 7.0 or above with not less than 7.0 in each component.
Name: Professor Andrew Vivian
Email address: [email protected]
How to apply
All applications should be made online at http://www.lboro.ac.uk/study/apply/research/
. Under programme name, select Business School. Please upload with your application a research proposal relevant to the project’s topic, a personal statement, copies of your transcripts/certificates, English Language certificate and two academic references.
Please quote reference number: SBEAV-SY20