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Credit risk mitigation evidence in auto leases: LGD and residual value risk

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Author Info

  • Hugues Pirotte
  • Mathias Schmit
  • Céline Vaessen

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File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/14649/1/rou-0233.pdf
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Bibliographic Info

Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers CEB with number 04-008.RS.

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Length: 19 p.
Date of creation: Jan 2004
Date of revision:
Publication status: Published by: Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB)
Handle: RePEc:sol:wpaper:04-008

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Related research

Keywords: Credit risk; Collateral; Basle accord; Capital requirements; Retail financing; Leasing.;

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References

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  1. Franks, Julian R & Hodges, Stewart D, 1978. "Valuation of Financial Lease Contracts: A Note," Journal of Finance, American Finance Association, vol. 33(2), pages 657-69, May.
  2. Bergman, U. Michael & Bordo, Michael D. & Jonung, Lars, 1998. "Historical Evidence on Business Cycles: The International Experience," Working Paper Series in Economics and Finance 255, Stockholm School of Economics.
  3. McConnell, John J. & Schallheim, James S., 1983. "Valuation of asset leasing contracts," Journal of Financial Economics, Elsevier, vol. 12(2), pages 237-261, August.
  4. Mark Carey, 1998. "Credit Risk in Private Debt Portfolios," Journal of Finance, American Finance Association, vol. 53(4), pages 1363-1387, 08.
  5. Mathias Schmit, 2005. "Is automotive leasing a risky business?," ULB Institutional Repository 2013/14325, ULB -- Universite Libre de Bruxelles.
  6. Schmit, Mathias, 2004. "Credit risk in the leasing industry," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 811-833, April.
  7. Mark Carey, 2000. "Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements," NBER Working Papers 7629, National Bureau of Economic Research, Inc.
  8. Mark Carey, 2000. "Dimensions of credit risk and their relationship to economic capital requirements," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2000-18, Board of Governors of the Federal Reserve System (U.S.).
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Cited by:
  1. Sylvain Prado, 2009. "Hedging residual value risk using derivatives," EconomiX Working Papers 2009-31, University of Paris West - Nanterre la Défense, EconomiX.

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