Loss Given Default (henceforth the LGD) is the ratio of losses to exposure at default. It includes the loss of …

damages for “noneconomic” loss. The author argues that the distinction between “economic” and “noneconomic” losses or damages …

We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models … developing a conditionally Gaussian approximation to the loss distribution. Numerical results illustrate the accuracy and …

the case of large, overlapping credit portfolios. We analytically calculate the multivariate joint loss distribution of … to protect the more senior tranches from high losses. We analytically corroborate the observation that an extreme loss of … the subordinated creditor is likely to also yield a large loss of the senior creditor …

This study investigates the non-discretionary determinants of bank loan loss provisions in Africa after controlling for … banks have higher loan-to-asset ratios. Also, larger banks in financially developed African countries have fewer loan loss …

finds that banks that record timelier loan loss provisions originate more loans during downturns, consistent with loan-loss … risk modeling disciplines both their loan loss provisions and loan origination. We identify two forms of credit risk … associated with their loan-loss-provision timeliness, with the ability of their provisions to predict future loan charge …

loan loss provisions, inducing a V-shaped relation between loan loss provisions and nonperforming loan changes. Failure to … the effects of delayed loan loss recognition in prior papers that assumed linearity. Future researchers should either … include net loan charge-offs in linear models of loan loss provisions or explicitly model the asymmetry induced by omitting …

. Deposits are insured by the government, with a premium paid by the deposit bank equal to its expected loss on the deposits. We … define the bank's capital shortfall in the crisis as the expected loss on deposits under stress. We calibrate the model on … the U.S. economy and show how this measure of stressed expected loss behaves for different calibrations of the model. A 40 …

beat earnings benchmarks, we find that abnormal ALL is unrelated to next period's loss avoidance and just meeting or … discretion as a means to build a cushion against future credit losses as they transition from the incurred loss model to the … expected loss model for loan loss accounting …