We investigate the puzzle in the literature that various parametric loss given default (LGD) statistical models perform … accuracy and rank ordering when mean predictions and squared error loss functions are used. Therefore, the findings in the …

The goal of the Basle II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula … is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss …-factor models where default and loss given default are driven by one systemic factor and by one or more idiosyncratic factors. In …

estimates. -- Credit risk ; Bank loans ; Loss given default ; Forecasting …The parameter loss given default (LGD) of loans plays a crucial role for risk-based decision making of banks including …. For bank loans, the estimation is usually based on discounted recovery cash flows, leading to workout LGDs. In this paper …

This study investigates the non-discretionary determinants of bank loan loss provisions in Africa after controlling for … loan growth are significant non-discretionary drivers of bank provisions in the African region. We observe that bank … provision is a positive function of non-performing loans up to a threshold beyond which bank provisions will no longer increase …

finds that banks that record timelier loan loss provisions originate more loans during downturns, consistent with loan-loss … risk modeling disciplines both their loan loss provisions and loan origination. We identify two forms of credit risk … associated with their loan-loss-provision timeliness, with the ability of their provisions to predict future loan charge …

loan loss provisions, inducing a V-shaped relation between loan loss provisions and nonperforming loan changes. Failure to … the effects of delayed loan loss recognition in prior papers that assumed linearity. Future researchers should either … include net loan charge-offs in linear models of loan loss provisions or explicitly model the asymmetry induced by omitting …

loan loss provisions, inducing a V-shaped relation between loan loss provisions and nonperforming loan changes. Failure to … the effects of delayed loan loss recognition in prior papers that assumed linearity. Future researchers should either … include net loan charge-offs in linear models of loan loss provisions or explicitly model the asymmetry induced by omitting …

This paper examines the real effects of banks switching to an expected credit loss (ECL) framework under IFRS 9. I … identify the cross-bank variation in the ECL transition from banks' mandatory reconciliation disclosures about the day …

- 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 …

procyclicality of banks' loss-absorbing resources. …