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Benchmarking non-performing loans
Cerulli, Giovanni; D'Apice, Vincenzo; Fiordelisi, Franco; … - In: The European journal of finance 26 (2020) 16, pp. 1591-1605
Persistent link: https://www.econbiz.de/10012314640
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Libor Benchmark Reform : Recipes for Success & Disaster
Burgess, Nicholas - 2020
Libor is arguably the world's most important number with more than USD 350 trillion of loans and financial contracts referencing this rate. Libor benchmark interest rates are being replaced with alternative reference rates (ARRs). There is no guarantee Libor rates will continue to be quoted...
Persistent link: https://www.econbiz.de/10012839385
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Benchmarking the LGD Parameter for Mortgage Loan Portfolios Under Stress
Greve, Christian - 2016
this approximation for several hypothetical bank portfolios. The formula seems a meaningful starting point for benchmarking …
Persistent link: https://www.econbiz.de/10013005101
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Benchmarking Forecast Approaches for Mortgage Credit Risk for Forward Periods
Luong, Mai; Scheule, Harald (Harry) - 2021
This paper explores alternative forecast approaches for mortgage credit risk for forward periods of up to seven years … are significant in explaining credit risk over forward periods. Time variation may come through the ageing and forward …
Persistent link: https://www.econbiz.de/10013211469
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EURAXI : A Benchmark for Euro Credit Spreads
Saroyan, Susanna; Cont, Rama - 2023
We study the feasibility and benefits of implementing an across-the-curve credit spread index for the Eurozone. We …
Persistent link: https://www.econbiz.de/10014353428
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A Benchmark for Collateralized Loan Obligations
Elkamhi, Redouane; Li, Ruicong; Nozawa, Yoshio - 2021
-implied benchmark, and find that observed large credit spreads on CLO senior tranches after the financial crisis are a fair reflection …
Persistent link: https://www.econbiz.de/10013251586
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Direct lending returns
Suhonen, Antti - In: Financial analysts journal : FAJ 80 (2024) 1, pp. 57-83
Persistent link: https://www.econbiz.de/10014576151
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Across-the-curve credit spread indices
Berndt, Antje; Duffie, Darrell; Zhu, Yichao - 2020
This note presents a preliminary approach to the design of an across-the-curve credit spread index (AXI). The index is … management applications. The index is a weighted average of credit spreads for unsecured debt instruments with maturities ranging …
Persistent link: https://www.econbiz.de/10012264665
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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
The objective of this paper is to develop a methodology to calculate expected credit loss (ECL) using a transparent …
Persistent link: https://www.econbiz.de/10012219286
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Are Banks Using Hidden Reserves to Beat Earnings Benchmarks? Evidence from Germany
Bornemann, Sven - 2016
Section 340f of the German Commercial Code allows banks to provision against the special risks inherent to the banking business by building hidden reserves. Beyond risk provisioning, these reserves are implicitly accepted as an earnings management device. By analyzing financial statements of...
Persistent link: https://www.econbiz.de/10012989239