Narrow search
Showing 1 - 10 of 6,771
Cover Image
Benchmarking the loss given default parameter for mortgage loan portfolios under stress
Greve, Christian; Hahnenstein, Lutz - In: The journal of credit risk : published quarterly by … 12 (2016) 4, pp. 79-107
Persistent link: https://www.econbiz.de/10011645440
Cover Image
When banks venture beyond home turf : consequences for loan performance
Tanoue, Yuta; Yamashita, Satoshi - In: The journal of credit risk : published quarterly by … 13 (2017) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10011849964
Cover Image
Key variables and characteristics of loan loss given default : empirical evidence from 28 provinces in China
Zhao, Zhichong; Colombage, Sisira; Chi, Guotai - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 11, pp. 2443-2460
Persistent link: https://www.econbiz.de/10012262816
Cover Image
Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis
Di Clemente, Annalisa - In: Studi economici : rivista quadrimestrale 68 (2013) 1, pp. 5-24
Persistent link: https://www.econbiz.de/10010389432
Cover Image
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
Cover Image
Loss given default, loan seasoning and financial fragility : evidence from commercial real estate loans at failed banks
Ross, Emily Johnston; Shibut, Lynn - In: The journal of real estate finance and economics 63 (2021) 4, pp. 630-661
Persistent link: https://www.econbiz.de/10012653299
Cover Image
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
Cover Image
Resolution of defaulted loan contracts : an empirical analysis of default resolution time and loss given default
Betz, Jennifer - 2018
Persistent link: https://www.econbiz.de/10012198130
Cover Image
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 …. This paper considers a simple residual risk model defined by one parameter. By developing an optimal RR/LGD model, it is …
Persistent link: https://www.econbiz.de/10012591699