A new model for bank loan loss given default by leveraging time to recovery
Year of publication: |
September 2018
|
---|---|
Authors: | Chen, Heng Z. |
Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 14.2018, 3, p. 1-29
|
Subject: | loss given default (LGD) | time to recovery | censoring bias | survival model | stress testing | Kreditrisiko | Credit risk | Kreditgeschäft | Bank lending | Basler Akkord | Basel Accord | Insolvenz | Insolvency | Finanzdienstleistung | Financial services | Verlust | Loss | Bank | Konjunktur | Business cycle |
-
A prudent loss given default estimation for mortgages. II
Ozdemir, Bogie, (2021)
-
Insights into credit loss rates : a global database
Ong, Li Lian, (2023)
-
Analytical solutions for expected loss and standard deviation of loss with an additional loan
Yamashita, Satoshi, (2015)
- More ...
-
Chen, Heng Z., (1997)
-
Chen, Heng Z., (1998)
-
Chen, Heng Z., (2021)
- More ...