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Banking reform
Jackson, Patricia; Davies, Howard; Miles, David; … - SUERF Conference on Banking Reform <2015, London>; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011554963
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Modeling Loss Given Default
Li, Phillip - 2018
We investigate the puzzle in the literature that various parametric loss given default (LGD) statistical models perform … accuracy and rank ordering when mean predictions and squared error loss functions are used. Therefore, the findings in the …
Persistent link: https://www.econbiz.de/10012913177
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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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Loss, default and loss given default modeling
Witzany, Jiří - 2009
The goal of the Basle II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula … is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss …-factor models where default and loss given default are driven by one systemic factor and by one or more idiosyncratic factors. In …
Persistent link: https://www.econbiz.de/10003823898
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Resolving troubled systemically important cross-border financial institutions : is a new corporate organizational form required?
Cumming, Christine M.; Eisenbeis, Robert A. - 2010
This paper explores the advantages of a new financial charter for large, complex, internationally active financial institutions that would address the corporate governance challenges of such organizations, including incentive problems in risk decisions and the complicated corporate and...
Persistent link: https://www.econbiz.de/10008657240
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Loss Given Default for Commercial Loans at Failed Banks
Shibut, Lynn - 2016
This paper extends what we know about loss given default (LGD) on commercial loans by studying certain types of these … loss share agreements. We examine LGD for more than 50,000 distressed loans, broken into three categories: construction and … status, and other factors that may be related to loss severity. The results inform commercial lenders and regulators about …
Persistent link: https://www.econbiz.de/10013002186
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Does a One-Size-Fits-All Approach to Financial Regulations Alleviate Default Risk? The Case of Dual Banking Systems
Rizwan, Muhammad Suhail; Moinuddin, Muhammad; … - 2021
Financial regulations are developed to curb financial and economic fragility costs without undermining the economic contributions of banks to economic development. To understand the impact financial regulations have on reducing the financial fragility of banks we use the probability-of-default...
Persistent link: https://www.econbiz.de/10013230026
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Cyclicality in losses on bank loans
Keijsers, Bart; Diris, Bart; Kole, Erik - 2015
default rate and loss given default of bank loans share a cyclical component, related to the business cycle. We infer this … variables. The loss distributions within the groups stay constant, but the fraction of loans with large losses increases during …
Persistent link: https://www.econbiz.de/10010515860
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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