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Estimating Recovery Rates on Bank’s Historical Loan Loss Data

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Author Info
Bandyopadhyay, Arindam
Singh, Pratima

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Abstract

The main objective of this paper is to estimate a statistical model that incorporates information at different levels: collateral, facility, industry, zone and the macro economy to predict the Recovery Rates which will enable the bank to arrive at the Loss Given Default figure that would help to better price and manage credit risk. This estimated LGD can also play a critical role in meeting the Basel II requirements on advanced Internal Rating Based Approach (AIRB).

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File URL: http://mpra.ub.uni-muenchen.de/9525/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 9525.

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Date of creation: Feb 2007
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Handle: RePEc:pra:mprapa:9525

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Related research
Keywords: Loss Estimation; Credit Risk; Modeling; Bank;

Find related papers by JEL classification:
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages

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  1. Yawitz, Jess B., 1977. "An Analytical Model of Interest Rate Differentials and Different Default Recoveries," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(03), pages 481-490, September. [Downloadable!]
  2. Ivailo Izvorski, 1997. "Recovery Ratios and Survival Times for Corporate Bonds," IMF Working Papers 97/84, International Monetary Fund.
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This page was last updated on 2009-12-16.

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