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Liquidation value and loan pricing
Barbiero, Francesca; Schepens, Glenn; Sigaux, Jean-David - 2022
We show that the liquidation value of collateral depends on who is pledging it. We employ transaction-level data on overnight repurchase agreements (repo) and loan-level credit registry data on corporate loans. We find that borrowers on the repo market pay a 2.6 basis points rate premium when...
Persistent link: https://www.econbiz.de/10013272136
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A proposed benchmark model using a modularised approach to calculate IFRS 9 expected credit loss
Schutte, Willem Daniel; Verster, Tanja; Doody, Derek; … - In: Cogent Economics & Finance 8 (2020) 1, pp. 1-27
-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/10012657583
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Loss severities on residential real estate debt during the Great Recession
Andersson, Fredrik; Mayock, Tom - In: Journal of Banking & Finance 46 (2014) C, pp. 266-284
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
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Systematic Risk in Recovery Rates: An Empirical Analysis of US Corporate Credit Exposures
Düllmann, Klaus; Trapp, Monika - Deutsche Bundesbank - 2004
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
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Loss Given Default Modelling under the Asymptotic Single Risk Factor Assumption
Kim, Joocheol; Kim, KiHyung - Volkswirtschaftliche Fakultät, … - 2006
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
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Loss given default: towards flexible and regulatory compliant approaches
Salis, Fabio; Turri, Alessandro - In: BANCARIA 10 (2009) October
In estimating the downturn Lgd, financial intermediaries have to select the economic cycle on which investigating the …
Persistent link: https://www.econbiz.de/10008479002
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Modelling Bank Loan LGD of Corporate and SME Segments: A Case Study
Chalupka, Radovan; Kopecsni, Juraj - Institut ekonomických studií, Univerzita Karlova v Praze - 2008
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
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Cyclical default and recovery in stress testing loan losses
Jokivuolle, Esa; Virén, Matti - In: Journal of Financial Stability 9 (2013) 1, pp. 139-149
-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
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Modelling bank loan LGD of corporate and SME segments: A case study
Chalupka, Radovan; Kopecsni, Juraj - 2008
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/10010322197
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A proposed benchmark model using a modularised approach to calculate IFRS 9 expected credit loss
Schutte, Willem Daniel; Verster, Tanja; Doody, Derek; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-27
-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