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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. McConnell, John J. & Schallheim, James S., 1983. "Valuation of asset leasing contracts," Journal of Financial Economics, Elsevier, vol. 12(2), pages 237-261, August.
  2. U. Michael Bergman & Michael D. Bordo & Lars Jonung, 1998. "Historical evidence on business cycles: the international experience," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 42(Jun), pages 65-119.
  3. 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.
  4. Mark Carey, 2000. "Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements," NBER Working Papers 7629, National Bureau of Economic Research, Inc.
  5. Schmit, Mathias, 2004. "Credit risk in the leasing industry," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 811-833, April.
  6. Mark Carey, 2000. "Dimensions of credit risk and their relationship to economic capital requirements," Finance and Economics Discussion Series 2000-18, Board of Governors of the Federal Reserve System (U.S.).
  7. Mathias Schmit, 2003. "Is Automotive Leasing a Risky Business?," Working Papers CEB 03-009.RS, ULB -- Universite Libre de Bruxelles.
  8. Mark Carey, 1998. "Credit Risk in Private Debt Portfolios," Journal of Finance, American Finance Association, vol. 53(4), pages 1363-1387, 08.
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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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