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Loss Given Default - Modelle zur Schätzung von Recovery Rates
Böttger, Marc; Guthoff, Anja; Heidorn, Thomas - 2008
Loss Given Default (LGD) is a major element for pricing credits and bonds. As there has been a substantial amount of … for credits between 40% and 87% and lower rates for bonds. A survey of the literature on the influences on LGD showed 17 … parameters. Based on these studies we suggest 6 parameters for LGD estimation. Finally an overview of LGD models is given …
Persistent link: https://www.econbiz.de/10010298938
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The impact of climate risk on corporate credit risk
Bell, Francesca; Van Vuuren, Gary - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-16
Firms must estimate expected credit losses (EL) to comply with accounting standards and unexpected credit losses (UL) to determine regulatory credit risk capital. Both rely on estimates of obligor probabilities of default (PD). Investors also pay close attention to credit ratings-derived from...
Persistent link: https://www.econbiz.de/10015074186
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Systematic Risk in Recovery Rates: An Empirical Analysis of US Corporate Credit Exposures
Düllmann, Klaus; Trapp, Monika - 2004
This paper presents an analytical and empirical analysis of a parsimonious model framework that accounts for a dependence of bond and bank loan recoveries on systematic risk. We extend the single risk factor model by assuming that the recovery rates also depend on this risk factor and follow a...
Persistent link: https://www.econbiz.de/10010295889
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Modelling bank loan LGD of corporate and SME segments: A case study
Chalupka, Radovan; Kopecsni, Juraj - 2008
The aim of this paper is to propose a methodology to estimate loss given default (LGD) and apply it to a set of micro …-data of loans to SME and corporations of an anonymous commercial bank from Central Europe. LGD estimates are important inputs … requires internally estimates of LGD to calculate risk-weighted assets and to estimate expected loss. We analyse the recovery …
Persistent link: https://www.econbiz.de/10010322197
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Liquidation value and loan pricing
Barbiero, Francesca; Schepens, Glenn; Sigaux, Jean-David - 2022
We show that the liquidation value of collateral depends on who is pledging it. We employ transaction-level data on overnight repurchase agreements (repo) and loan-level credit registry data on corporate loans. We find that borrowers on the repo market pay a 2.6 basis points rate premium when...
Persistent link: https://www.econbiz.de/10013272136
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A proposed benchmark model using a modularised approach to calculate IFRS 9 expected credit loss
Schutte, Willem Daniel; Verster, Tanja; Doody, Derek; … - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-27
-modularised approach utilising three components: probability of default (PD), loss given default (LGD) and exposure at default (EAD). The … calculating the marginal recovery rates and resulting LGD, and lastly a methodology to calculate the EAD. These three components …
Persistent link: https://www.econbiz.de/10012657583
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The economic role of valuers in real property markets
Bartke, Stephan - 2015
Globally, real estate trade is highly regularized. Usually, the market value is not negotiated simply between the seller and potential buyer but based on an assessment performed by a professional valuer, known as a surveyor or appraiser. This paper inquires about the economic role of valuers in...
Persistent link: https://www.econbiz.de/10011372094
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Spatial Competition and Transport Infrastructure: The Case of Moscow Office Rental Market
Mikhailova, Tatiana - 2015
This paper studies the geography of competition on Moscow commercial real estate market. We estimate the elasticity of office rental price to the prices of competing objects as a function of the geographical distance. We found that office real estate market in Moscow, although saturated, is...
Persistent link: https://www.econbiz.de/10011400572
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The division of spoils in a booming industry
Popov, Alexander - 2022
Between 2000 and 2007, the gender gap in earnings in the US real estate sector increased, especially in local markets where house prices appreciated relatively more. Firm frictions and the presence of small children in the household do not explain the widening of the gender gap, while sorting on...
Persistent link: https://www.econbiz.de/10014278502
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A note on the pricing of real estate index linked swaps
Björk, Tomas; Clapham, Eric - 2002
In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. (1997) in a previous paper. We show that their results are only approximately correct and that the true theoretical price of the swap is...
Persistent link: https://www.econbiz.de/10010281429