A fair level of provisions on bad and doubtful loans is an essential input in mark-to-market accounting, and in the calculation of bank capital and solvency. Few academic studies have analyzed the adequacy of loan-loss provisioning because, due to the private nature of bank loan transactions,...

The empirical literature has relied mostly on the corporate bond market to estimate losses in the event of default. The reason is that, bank loans being private instruments, few data on loan losses are publicly available. The contribution of this paper is to provide empirical evidence on losses...

A fair level of provisions on bad and doubtful loans is an essential input in mark-to-market accounting, and in the calculation of bank profitability, capital and solvency. Loan-loss provisioning is directly related to estimates of loan-loss given default (LGD). A literature on LGD on bank loans...

The contribution of the paper is to apply mortality analysis to a unique set of micro-data of defaulted bank loans of a European bank. The empirical results relate to the timing of recoveries on bad and doubtful loans, the distribution of cumulative recovery rates, their economic determinants...

A fair level of provisions on bad and doubtful loans is an essential input in mark-to-market accounting, and in the calculation of bank profitability, capital and solvency. Loan-loss provisioning is directly related to estimates of loan-loss given default (LGD). A literature on LGD on bank loans...