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Forecasting lifetime credit losses : modelling considerations for complying with the new FASB and IASB current expected credit loss models
McPhail, Joseph E.; McPhail, Lihong Lu - In: Journal of risk management in financial institutions 7 (2014) 4, pp. 375-388
Persistent link: https://www.econbiz.de/10011346965
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Intertemporal forecasts of defaulted bond recoveries and portfolio losses
Kalotay, Egon A.; Altman, Edward I. - In: Review of finance : journal of the European Finance … 21 (2017) 1, pp. 433-463
Persistent link: https://www.econbiz.de/10011778628
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Pitfalls in modeling loss given default of bank loans
Hibbeln, Martin; Gürtler, Marc - 2011
The parameter loss given default (LGD) of loans plays a crucial role for risk-based decision making of banks including … estimates. -- Credit risk ; Bank loans ; Loss given default ; Forecasting …
Persistent link: https://www.econbiz.de/10009487575
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Forecasting expected and unexpected losses
Juselius, Mikael; Tarashev, Nikola A. - 2020
procyclicality of banks' loss-absorbing resources. …
Persistent link: https://www.econbiz.de/10012391488
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Modeling loss given default regressions
Li, Phillip; Zhang, Xiaofei; Zhao, Xinlei - In: Journal of risk 23 (2020/2021) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012500067
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A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses
Krüger, Steffen; Oehme, Toni; Rösch, Daniel; Scheule, … - In: Journal of empirical finance 47 (2018), pp. 246-262
Persistent link: https://www.econbiz.de/10012103459
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Loss functions for Loss Given Default model comparison
Hurlin, Christophe; Leymarie, Jérémy; Patin, Antoine - In: European journal of operational research : EJOR 268 (2018) 1, pp. 348-360
Persistent link: https://www.econbiz.de/10011813102
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Forecasting loss given default of bank loans with multi-stage model
Tanoue, Yuta; Kawada, Akihiro; Yamashita, Satoshi - In: International journal of forecasting 33 (2017) 2, pp. 513-522
Persistent link: https://www.econbiz.de/10011922923
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Loss given default : estimating by the conditional minimum value
Ammari, Mustapha; Lakhnati, Ghizlane - In: International journal of economics and financial issues … 7 (2017) 3, pp. 779-785
Persistent link: https://www.econbiz.de/10011823132
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Refinance Incidence and Information Loss in Predicting Prepayment Risk
Tzioumis, Konstantinos - 2020
This paper uses loan-level data to investigate heterogeneity in loan prepayment incidence, and argues that refinancing is affected by a mortgage pricing convention that underestimates co-borrowers' actual creditworthiness. Specifically, we find a substantial difference in prepayment incidence...
Persistent link: https://www.econbiz.de/10012845177