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This study develops estimates of expected loss severities on mortgage exposures using data from Florida during the Great Recession. This paper marks the first attempt at addressing sample selectivity in the context of loss models. We also construct measures of home equity that are more accurate...
Persistent link: https://www.econbiz.de/10010907103
-known positive relationship between probability of default (PD) and loss given default (LGD; i.e., the inverse of recovery) and their … counter-cyclical movement with the business cycle. In the absence of proper micro data on LGD, we use a random-sampling method … to estimate the annual average LGD. We specify a two equation model for PD and LGD which is estimated with Finnish time …
Persistent link: https://www.econbiz.de/10010636145
In estimating the downturn Lgd, financial intermediaries have to select the economic cycle on which investigating the …
Persistent link: https://www.econbiz.de/10008479002
This paper presents an analytical and empirical analysis of a parsimonious model framework that accounts for a dependence of bond and bank loan recoveries on systematic risk. We extend the single risk factor model by assuming that the recovery rates also depend on this risk factor and follow a...
Persistent link: https://www.econbiz.de/10005059003
capital leave the quanti¯cation of loss-given-default (LGD) parameter used for capital calculation unspeci¯ed. This paper … proposes a new methodology for incorporating LGD parameter explicitly into the Basel risk weight function. Numerical examples …
Persistent link: https://www.econbiz.de/10005620163
The aim of this paper is to propose a methodology to estimate loss given default (LGD) and apply it to a set of micro …-data of loans to SME and corporations of an anonymous commercial bank from Central Europe. LGD estimates are important inputs … requires internally estimates of LGD to calculate risk-weighted assets and to estimate expected loss. We analyse the recovery …
Persistent link: https://www.econbiz.de/10005698657
-modularised approach utilising three components: probability of default (PD), loss given default (LGD) and exposure at default (EAD). The … calculating the marginal recovery rates and resulting LGD, and lastly a methodology to calculate the EAD. These three components …
Persistent link: https://www.econbiz.de/10012219286
In capital budgeting, the internal rate of return (IRR) criterion and the net present value (NPV) criterion are …. The equivalence of the IRR and the NPV methods extends to the use of the ROE. An illustrative example is presented where … between the two alternative terminal positions may equivalently be expressed in terms of the system’s IRR or the system’s NPV …
Persistent link: https://www.econbiz.de/10005621745
how the ACB-MININD software links the main elements of Cost-Benefit analysis such as NPV or IRR with elements of the …
Persistent link: https://www.econbiz.de/10010617442
The article approaches issues regarding the decisions to invest in projects concerningthe area of renewable energy resources. The decisions have been taken on the basis of the cost-benefit analysis. The central issue, that arises inhere, concerns the foundation of the investmentdecision in terms...
Persistent link: https://www.econbiz.de/10008776008