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Bank "ratings arbitrage" : is LGD a blind spot in economic capital calculations?
Sundmacher, Maike; Ellis, Craig - In: International review of financial analysis 20 (2011) 1, pp. 6-11
Persistent link: https://www.econbiz.de/10009295931
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Unexpected Recovery Risk and LGD Discount Rate Determination
Witzany, Jiří - In: European Financial and Accounting Journal 4 (2009) 1, pp. 61-84
accounts in the case of default. Banks firstly need to collect historical recovery data, discount the recovery income and cost … cash flow to the time of default, and calculate historical recovery rates and LGDs. One of the puzzling tasks is to …, recovery risk and a cost of the risk. …
Persistent link: https://www.econbiz.de/10010512837
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Survival Analysis in LGD Modeling
Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - In: European Financial and Accounting Journal 7 (2012) 1, pp. 6-27
allows exploiting partial recovery data. The model is also modified in order to improve performance of the appropriate …
Persistent link: https://www.econbiz.de/10010512898
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Unexpected recovery risk and LGD discount rate determination
Witzany, Jiří - In: European financial and accounting journal : EFAJ 4 (2009) 1, pp. 61-84
accounts in the case of default. Banks firstly need to collect historical recovery data, discount the recovery income and cost … cash flow to the time of default, and calculate historical recovery rates and LGDs. One of the puzzling tasks is to …, recovery risk and a cost of the risk. …
Persistent link: https://www.econbiz.de/10011459428
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Survival analysis in LGD modeling
Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - In: European financial and accounting journal : EFAJ 7 (2012) 1, pp. 6-27
allows exploiting partial recovery data. The model is also modified in order to improve performance of the appropriate …
Persistent link: https://www.econbiz.de/10011460080
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Survival Analysis in LGD Modeling
Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - In: European Financial and Accounting Journal 2012 (2012) 1, pp. 6-27
allows exploiting partial recovery data. The model is also modified in order to improve performance of the appropriate …
Persistent link: https://www.econbiz.de/10011195393
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Unexpected Recovery Risk and LGD Discount Rate Determination
Witzany, Jiří - In: European Financial and Accounting Journal 2009 (2009) 1, pp. 61-84
accounts in the case of default. Banks firstly need to collect historical recovery data, discount the recovery income and cost … cash flow to the time of default, and calculate historical recovery rates and LGDs. One of the puzzling tasks is to …, recovery risk and a cost of the risk. …
Persistent link: https://www.econbiz.de/10011195396
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Loss Given Default - Modelle zur Schätzung von Recovery Rates
Böttger, Marc; Guthoff, Anja; Heidorn, Thomas - 2008
research during the last years, this paper aims to give an overview. Initially, defaults and recovery definitions for credits … and the differences to bonds are discussed. A survey of the empirical literature is given, finding average recovery rates …
Persistent link: https://www.econbiz.de/10010298938
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Downturn LGD modeling using quantile regression
Krüger, Steffen; Rösch, Daniel - In: Journal of banking & finance 79 (2017), pp. 42-56
Persistent link: https://www.econbiz.de/10011815136
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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