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Estimating Recovery Rates on Bank’s Historical Loan Loss Data

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Author Info

  • Bandyopadhyay, Arindam
  • Singh, Pratima

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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Bibliographic 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;

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  1. Ivailo Izvorski, 1997. "Recovery Ratios and Survival Times for Corporate Bonds," IMF Working Papers 97/84, International Monetary Fund.
  2. 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.
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