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Recovery Rates in Consumer Lending: Empirical Evidence and the Model Comparison

Prívara, Samuel; Kolman, Marek; Witzany, Jiri - In: Bulletin of the Czech Econometric Society 21 (2014)

The bank regulation embodied in the Basel II Accord has opened-up a new era in estimating recovery rates or complementary loss given default in the retail lending credit evaluation process. In this paper we investigate the properties of survival analysis models applied to recovery rates in order...

Persistent link: https://www.econbiz.de/10010756060

Do comprehensive labor measures reduce the severity of the pandemic? : evidence from India

Kujur, Sandeep Kumar; Goswami, Diti - In: International journal of social economics 49 (2022) 10, pp. 1417-1441

Persistent link: https://www.econbiz.de/10013353102

Corporate loan recovery rates under downturn conditions in a developing economy : evidence from Zimbabwe

Matenda, Frank Ranganai; Sibanda, Mabutho; Chikodza, Eriyoti - In: Risks : open access journal 10 (2022) 10, pp. 1-24

In this study, we design stepwise ordinary least squares regression models using various amalgamations of firm features, loan characteristics and macroeconomic variables to forecast workout recovery rates for defaulted bank loans for private non-financial corporates under downturn conditions in...

Persistent link: https://www.econbiz.de/10013556740

A Study of Inefficient Going Concerns in Bankruptcy

Franks, Julian R; Lóránth, Gyöngyi - C.E.P.R. Discussion Papers - 2005

-administered bankruptcy procedures. Although we find that the large majority of bankrupt firms in our sample of Hungarian firms are kept as … going concerns, the evidence suggests that the going concern bias sharply reduces aggregate proceeds to pre-bankruptcy … bankrupt company. Comparisons with other bankruptcy codes suggest that the application of the code and court procedures have an …

Persistent link: https://www.econbiz.de/10005667106

Pricing the Risk of Recovery in Default with APR Violation

Unal, Haluk; Madan, Dilip; Güntay, Levent - Financial Institutions Center, Wharton School of Business - 2001

This paper proposes a simple approach to infer the risk neutral density of recovery rates implied by the prices of the debt securities of a firm. The proposed approach is independent of modeling default arrival rates and allows for the violation of absolute priority rule (APR). The paper...

Persistent link: https://www.econbiz.de/10005794309

Loss-given-default on farm real estate loans: probability of full recovery

Yan, Yan; Barry, Peter J. - In: Agricultural Finance Review 66 (2006) May, pp. 47-59

The non-depreciability characteristic of farmland value implies that farm delinquencies and default may not necessarily lead to loan loss. Considering this, a model under the framework of Value-at-Risk is developed to estimate probabilities of debt coverage by farmland that is mortgaged to...

Persistent link: https://www.econbiz.de/10005007776

Distressed debt prices and recovery rate estimation

Guo, Xin; Jarrow, Robert; Lin, Haizhi - In: Review of Derivatives Research 11 (2008) 3, pp. 171-204

Persistent link: https://www.econbiz.de/10005678300

Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic

Belyaev, Konstantin; Belyaeva, Aelita; Konecny, Tomas; … - Česká Národní Banka - 2012

This paper focuses on key macroeconomic driving factors influencing the loss given default (LGD) - an important credit risk parameter determining credit losses of the banking sector. Various econometric approaches are applied on both individual and aggregated data for different bank segments in...

Persistent link: https://www.econbiz.de/10010628210

The determinants of bank loan recovery rates

Khieu, Hinh D.; Mullineaux, Donald J.; Yi, Ha-Chin - In: Journal of Banking & Finance 36 (2012) 4, pp. 923-933

. Industry and macroeconomic conditions are relevant, as are prepackaged bankruptcy arrangements. We examine whether a commonly …

Persistent link: https://www.econbiz.de/10010577992

Estimating Default and Recovery Rate Correlations

Witzany, Jiri - Institut ekonomických studií, Univerzita Karlova v Praze - 2013

The paper analyzes a two-factor credit risk model allowing to capture default and recovery rate variation, their mutual correlation, and dependence on various explanatory variables. At the same time, it allows computing analytically the unexpected credit loss. We propose and empirically...

Persistent link: https://www.econbiz.de/10010827794