Laurent, Marie-Paule; Schmit, Mathias; Belle, Suk Chun Van - In: Managerial Finance 35 (2009), pp. 874-884
Purpose -The purpose of this paper is to examine residual value risk modelling issues with a focus on automotive lease portfolios. Residual value risk is approached through a re-sampling technique that provides the probability density function of losses and VaR measures for credit portfolios....