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When uncertainty decouples expected and unexpected losses

Juselius, Mikael; Tarashev, Nikola A. - 2022

Persistent link: https://www.econbiz.de/10012888255

Barbosa, Klenio; De Silva, Dakshina G.; Yang, Liyu; … - 2021

This paper documents the existence of primary dealers’ losses in Treasury bond markets and investigates how these losses a¤ect dealers’ market value. Using a novel data set that tracks more than 2,350 primary-to-secondary transactions, we find that bond losses for primary dealers are...

Persistent link: https://www.econbiz.de/10013246144

When uncertainty decouples expected and unexpected losses

Juselius, Mikael; Tarashev, Nikola A. - 2022

- abrupt switches between high- and low-loss phases - from a risk-management perspective. As uncertainty about phase switches … increases, expected losses decouple from unexpected losses, which reflect a high percentile of the loss distribution. Banks that … ignore this decoupling have shortfalls of loss-absorbing resources, which is more detrimental if the portfolio is more …

Persistent link: https://www.econbiz.de/10012814386

Forecasting expected and unexpected losses

Juselius, Mikael; Tarashev, Nikola A. - 2020

procyclicality of banks' loss-absorbing resources. …

Persistent link: https://www.econbiz.de/10012391488

From incurred loss to current expected credit loss : a forensic analysis of the allowance for loan losses in unconditionally cancelable credit card portfolios

Canals-Cerdá, José J. - In: The journal of credit risk : published quarterly by … 16 (2020) 4, pp. 43-83

Persistent link: https://www.econbiz.de/10012494772

Asymmetric loan loss provision models

Basu, Sudipta; Vitanza, Justin; Wang, Wei - In: Journal of accounting & economics 70 (2020) 2/3, pp. 1-21

Persistent link: https://www.econbiz.de/10012494843

Modeling loss given default regressions

Li, Phillip; Zhang, Xiaofei; Zhao, Xinlei - In: Journal of risk 23 (2020/2021) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10012500067

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

Bank loan loss accounting and its contracting effects : the new expected loss models

Giner Inchausti, Begoña; Mora, Araceli - In: Accounting and business research 49 (2019) 6, pp. 726-752

Persistent link: https://www.econbiz.de/10012226083

A limit distribution of credit portfolio losses with low default probabilities

Shi, Xiaojun; Tang, Qihe; Yuan, Zhongyi - In: Insurance / Mathematics & economics 73 (2017), pp. 156-167

Persistent link: https://www.econbiz.de/10011702063