The main objective of this paper is to estimate a statistical model that incorporates Bank's credit recovery history at different levels: collateral, facility, industry, zone and the macro economy to predict the future Recovery Rates. This will enable the bank to arrive at the Loss Given Default...

This paper empirically examines the functional role of various micro and macro economic as well as situational factors that determine residential housing demand and risk of borrower default. Using 13,487 housing loan accounts (sanctioned from 1993-2007) data from Housing Finance Institutions...

The empirical research on housing market in India is scarce due to the paucity of information. The monograph on “A Study of Residential Housing Demand in India” is the outcome of a Study conducted by the National Institute of Bank Management (NIBM) for National Housing Bank (NHB) and...

Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk. This would require studying the risk profile of the banks’ entire credit portfolio and developing the appropriate methodology for the estimation of default dependence. Measurement and...

Purpose – Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk. The purpose of this paper is to find empirical relationship between the default and asset correlation with default probability, to understand the effect of systematic risk....

Purpose – The primary objective of the paper is to demonstrate the importance of borrower-specific characteristics as well as local situation factors in determining the demand prospect as well as the risk of credit loss on residential housing loan repayment behavior in India....