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Insights into credit loss rates : a global database
Ong, Li Lian; Schmieder, Christian; Wei, Min - 2023
Persistent link: https://www.econbiz.de/10014329176
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Insights into credit loss rates : a global database
Ong, Li Lian; Schmieder, Christian; Wei, Min - 2023
Persistent link: https://www.econbiz.de/10014284871
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Analytical solutions for expected loss and standard deviation of loss with an additional loan
Yamashita, Satoshi; Yoshiba, Toshinao - In: Asia-Pacific financial markets 22 (2015) 2, pp. 113-132
Persistent link: https://www.econbiz.de/10011377519
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Loss given default estimations in emerging capital markets
Pomazanov, Mikhail - In: Risk assessment and financial regulation in emerging …, (pp. 145-175). 2021
This paper proposes an approach to decompose the RR/LGD model development process with two stages, specifically, for the RR/LGD rating model, and to calibrate the model using a linear form that minimizes residual risk. The residual risk in the recovery of defaulted debts is determined by the...
Persistent link: https://www.econbiz.de/10012591699
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A prudent loss given default estimation for mortgages. II
Ozdemir, Bogie; Huang, Emma - In: The journal of risk model validation 15 (2021) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10013173359
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Non-Performing loans for Italian companies : when time matters. an empirical research on estimating probability to default and loss given default
Orlando, Guiseppe; Pelosi, Roberta - In: International Journal of Financial Studies : open … 8 (2020) 4/68, pp. 1-22
main risk components, the Probability of Default (PD) and the Loss Given Default (LGD) have been the subject of greater …
Persistent link: https://www.econbiz.de/10012321142
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Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9
Miu, Peter; Ozdemir, Bogie - In: The journal of credit risk : published quarterly by … 13 (2017) 2, pp. 53-83
Persistent link: https://www.econbiz.de/10011777684
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Modeling loss given default with stochastic collateral
Frontczak, Robert; Rostek, Stefan - In: Economic modelling 44 (2015), pp. 162-170
Persistent link: https://www.econbiz.de/10011326261
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Improvements in loss given default forecasts for bank loans
Gürtler, Marc; Hibbeln, Martin - In: Journal of banking & finance 37 (2013) 7, pp. 2354-2366
Persistent link: https://www.econbiz.de/10009760650