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Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - In: European financial and accounting journal : EFAJ 7 (2012) 1, pp. 6-27

The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it allows exploiting partial recovery data. The model is...

Persistent link: https://www.econbiz.de/10011460080

Unexpected recovery risk and LGD discount rate determination

Witzany, Jiří - In: European financial and accounting journal : EFAJ 4 (2009) 1, pp. 61-84

The Basle II parameter called Loss Given Default (LGD) aims to estimate the expected losses on not yet defaulted 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...

Persistent link: https://www.econbiz.de/10011459428

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 given default parameter. This simplification leads to a...

Persistent link: https://www.econbiz.de/10010322310

Exposure at default modeling with default intensities

Witzany, Jiří - In: European financial and accounting journal : EFAJ 6 (2011) 4, pp. 20-48

The paper provides an overview of the Exposure at Default (EAD) definition, requirements, and estimation methods as set by the Basel II regulation. A new methodology connected to the intensity of default modeling is proposed. The numerical examples show that various estimation techniques may...

Persistent link: https://www.econbiz.de/10011460072

Modelling bank loan LGD of corporate and SME segments: A case study

Chalupka, Radovan; Kopecsni, Juraj - 2008

The aim of this paper is to propose a methodology to estimate loss given default (LGD) and apply it to a set of micro-data of loans to SME and corporations of an anonymous commercial bank from Central Europe. LGD estimates are important inputs in the pricing of credit risk and the measurement of...

Persistent link: https://www.econbiz.de/10010322197

Loss, default and loss given default modeling

Witzany, Jiří - 2009

parameter be estimated as a quantile on the required probability level. -- credit risk ; correlation ; recovery rate …

Persistent link: https://www.econbiz.de/10003823898

Asset Correlation and Credit Quality : The Basel Assumption

Zanganeh, Mohammad - 2013

The relation between asset correlation and default probability is critical for determining bank regulatory capital … North American companies, we find that asset correlation tends to increase as credit quality (measured by agency ratings … on stock price dynamics: volatility and correlation increase substantially from the second quarter of 2008 and decline …

Persistent link: https://www.econbiz.de/10013090503

Exposure at Default Modeling with Default Intensities

Witzany, Jiri - 2014

Persistent link: https://www.econbiz.de/10013048184

Loss given default decomposition using mixture distributions of in-default events

Starosta, Wojciech - In: European journal of operational research : EJOR 292 (2021) 3, pp. 1187-1199

Persistent link: https://www.econbiz.de/10012502433

A capital adequacy buffer model

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...

Persistent link: https://www.econbiz.de/10010224793

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