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A case for economic capital as a Pillar 1 regulatory tool
Jacobs, Johann; Van Vuuren, Gary - In: The South African journal of economics 82 (2014) 2, pp. 290-314
Persistent link: https://www.econbiz.de/10010502202
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Optimal loan portfolio under regulatory and internal constraints
Okawara, Makoto; Takahashi, Akihiko - In: International journal of financial engineering 10 (2023) 4, pp. 1-44
Persistent link: https://www.econbiz.de/10014444676
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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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The impact of systemic loss given default on economic capital
Van Dyk, Jenni; Lange, Jaun; Van Vuuren, Gary - In: International business and economics research journal 16 (2017) 2, pp. 87-100
Persistent link: https://www.econbiz.de/10011701563
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The impact of PD-LGD correlation on expected loss and economic capital
Van Vuuren, Gary; De Jongh, Riaan; Verster, Tanja - In: International business and economics research journal 16 (2017) 3, pp. 157-170
Persistent link: https://www.econbiz.de/10011965066
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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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Adressing probationary period within a competing risks survival model for retail mortagage loss given default
Wood, Richard M.; Powell, David - In: The journal of credit risk : published quarterly by … 13 (2017) 3, pp. 47-66
Persistent link: https://www.econbiz.de/10011849972
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Forecasting probabilities of default and loss rates given default in the presence of selection
Rösch, Daniel; Scheule, Harald - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 393-407
Persistent link: https://www.econbiz.de/10010251696
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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