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Forecasting losses on a liquidating long-term loan portfolio

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  • Smith, L. Douglas
  • Lawrence, Edward C.
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 19 (1995)
    Issue (Month): 6 (September)
    Pages: 959-985

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    Handle: RePEc:eee:jbfina:v:19:y:1995:i:6:p:959-985

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    Web page: http://www.elsevier.com/locate/jbf

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    1. Wood, Douglas & Piesse, Jennie, 1988. "The information value of failure predictions in credit assessment," Journal of Banking & Finance, Elsevier, vol. 12(2), pages 275-292, June.
    2. Dileep Mehta, 1968. "The Formulation of Credit Policy Models," Management Science, INFORMS, vol. 15(2), pages B30-B50, October.
    3. Altman, Edward I, 1989. " Measuring Corporate Bond Mortality and Performance," Journal of Finance, American Finance Association, vol. 44(4), pages 909-22, September.
    4. R. M. Cyert & H. J. Davidson & G. L. Thompson, 1962. "Estimation of the Allowance for Doubtful Accounts by Markov Chains," Management Science, INFORMS, vol. 8(3), pages 287-303, April.
    5. Lane, Sylvia, 1972. "Submarginal Credit Risk Classification," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(01), pages 1379-1385, January.
    6. Asquith, Paul & Mullins, David W, Jr & Wolff, Eric D, 1989. " Original Issue High Yield Bonds: Aging Analyses of Defaults, Exchanges, and Calls," Journal of Finance, American Finance Association, vol. 44(4), pages 923-52, September.
    7. Altman, Edward I., 1980. "Commercial Bank Lending: Process, Credit Scoring, and Costs of Errors in Lending," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(04), pages 813-832, November.
    8. Lawrence, Edward C. & Smith, L. Douglas & Rhoades, Malcolm, 1992. "An analysis of default risk in mobile home credit," Journal of Banking & Finance, Elsevier, vol. 16(2), pages 299-312, April.
    9. Campbell, Tim S & Dietrich, J Kimball, 1983. " The Determinants of Default on Insured Conventional Residential Mortgage Loans," Journal of Finance, American Finance Association, vol. 38(5), pages 1569-81, December.
    10. Terrence M. Clauretie, 1987. "The Impact of Interstate Foreclosure Cost Differences and the Value of Mortgages on Default Rates," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(3), pages 152-167.
    11. Harold Bierman, Jr. & Warren H. Hausman, 1970. "The Credit Granting Decision," Management Science, INFORMS, vol. 16(8), pages B519-B532, April.
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    Cited by:
    1. L. Smith & Baiqiang Jin, 2007. "Modeling exposure to losses on automobile leases," Review of Quantitative Finance and Accounting, Springer, vol. 29(3), pages 241-266, October.
    2. Altman, Edward I. & Saunders, Anthony, 1997. "Credit risk measurement: Developments over the last 20 years," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1721-1742, December.

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