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Credit rating impact on CDO evaluation
Rösch, Daniel; Scheule, Harald - In: Global finance journal 19 (2009) 3, pp. 235-251
Persistent link: https://www.econbiz.de/10003837176
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A note on the Vasicek's model with the logistic distribution
Witzany, Jiři - In: Ekonomický časopis : časopis pre ekonomickú … 61 (2013) 10, pp. 1053-1066
Persistent link: https://www.econbiz.de/10010376114
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Credit markets and bubbles : is the benign credit cycle over?
Altman, Edward I.; Kuehne, Brenda J. - In: Economics and business review 2 (2016) 3, pp. 20-31
Persistent link: https://www.econbiz.de/10011634955
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On the cyclicality of default rates of banks : a comparative study of the asset correlation and diversification effects
Blümke, Oliver - In: Journal of empirical finance 47 (2018), pp. 65-77
Persistent link: https://www.econbiz.de/10012103483
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Risk weighting for government bonds : challenge for Italian banks
Meyland, Dominik; Schäfer, Dorothea - In: DIW economic bulletin 7 (2017) 28/29, pp. 283-290
Although banks are required to document their equity capital for loans, corporate bonds, and other receivables, they are currently exempted from the procedure when investing in government bonds: they enjoy an “equity capital privilege.” As part of the Basel III regulatory framework redraft,...
Persistent link: https://www.econbiz.de/10011675355
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How do funding diversity and non-performing loans affect bank performance in different economic cycles?
Khoa Dang Duong; Phuong Mai Duong Tran; Phung Y. Ngoc Nguyen - In: Cogent business & management 10 (2023) 2, pp. 1-21
This paper aims to study the impacts of bank funding diversity, non-performing loans (NPLs), and business cycles on bank performance. We employ Fixed Effect Models and the two-step system Generalized Method of Moments to examine a sample of 37 Vietnamese banks from 2005 to 2020. Our findings...
Persistent link: https://www.econbiz.de/10014504822
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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
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
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Economic policy uncertainty, bank nonperforming loans and loan loss provisions : are they correlated?
Ozili, Peterson K. - In: Asian journal of economics and banking : AJEB 6 (2022) 2, pp. 221-235
Purpose - This paper examines the correlation of economic policy uncertainty (EPU) with nonperforming loans and loan … the Pearson correlation methodology to assess the correlation between EPU, bank nonperforming loans and loan loss … correlation of EPU with loan loss provisions and nonperforming loans is influenced by regional characteristics. Originality …
Persistent link: https://www.econbiz.de/10013352701
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Modelling recovery rates for non-performing loans
Ye, Hui; Bellotti, Anthony - In: Risks : open access journal 7 (2019) 1/19, pp. 1-17
Based on a rich dataset of recoveries donated by a debt collection business, recovery rates for non-performing loans taken from a single European country are modelled using linear regression, linear regression with Lasso, beta regression and inflated beta regression. We also propose a two-stage...
Persistent link: https://www.econbiz.de/10012016013
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Estimating the recovery rates for unsecured loans to small sized firms
Toshiro, Masahiro; Tasaki, Masao; Hikidera, Yusuke; … - In: Asia-Pacific journal of risk and insurance : APJRI 13 (2019) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10012120655