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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

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

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

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

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

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

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

Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations

Schmidt, Daniel - 2003

In this article, we investigate risk return characteristics and diversification benefits when private equity is used as a portfolio component. We use a unique dataset describing 642 US-American portfolio companies with 3620 private equity investments. Information about precisely dated cash flows...

Persistent link: https://www.econbiz.de/10010298259

Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints

Lu, Xin; Liu, Qiong; Xue, Fengxin - In: Operations Research Perspectives 6 (2019), pp. 1-15

This paper originally proposes two unique closed-form solutions, respectively to risky assets only and a risk-free asset existing situations, of the mean-variance-skewness (MVS) optimization model subject to mean-sknewness-normalization constraints for portfolio selection. The efficient frontier...

Persistent link: https://www.econbiz.de/10012662764

Evaluating investment decisions based on the business cycle: A South African sector approach

Jansen van Rensburg, Johnny; Van Vuuren, Gary - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-24

Sector investing aims to guide investors in identifying undervalued securities. Knowing which sectors flourish at different phases of the business cycle, investment returns may be boosted by increasing holdings in securities from strengthening sectors and reducing holdings in weakening ones. As...

Persistent link: https://www.econbiz.de/10014001349