Modeling Bank Loan LGD of Corporate and SME Segments: A Case Study
Loss given default (LGD) is one of key parameters to estimate credit risk in an internal rating based approach considered in The New Basel Capital Accord. The aim of this paper is to find determinants of LGD using a set of firm loan micro-data of an anonymous Czech commercial bank. The authors find that LGD is driven primarily by the period of loan origination, relative value of collateral, loan size and length of business relationship. Different models employed in their analysis provide similar results; in more complex models, log-log models appear to perform better, implying an asymmetric response of the dependent variable.
Volume (Year): 59 (2009)
Issue (Month): 4 (Oktober)
|Contact details of provider:|| Postal: Opletalova 26, CZ-110 00 Prague|
Phone: +420 2 222112330
Fax: +420 2 22112304
Web page: http://ies.fsv.cuni.cz/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Papke, Leslie E & Wooldridge, Jeffrey M, 1996.
"Econometric Methods for Fractional Response Variables with an Application to 401(K) Plan Participation Rates,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 11(6), pages 619-32, Nov.-Dec..
- Leslie E. Papke & Jeffrey M. Wooldridge, 1993. "Econometric Methods for Fractional Response Variables with an Application to 401(k) Plan Participation Rates," NBER Technical Working Papers 0147, National Bureau of Economic Research, Inc.
- Olivier RENAULT & Olivier SCAILLET, 2003.
"On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities,"
FAME Research Paper Series
rp83, International Center for Financial Asset Management and Engineering.
- Renault, Olivier & Scaillet, Olivier, 2004. "On the way to recovery: A nonparametric bias free estimation of recovery rate densities," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2915-2931, December.
- Dermine, J. & de Carvalho, C. Neto, 2006. "Bank loan losses-given-default: A case study," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1219-1243, April.
- Radovan Chalupka & Juraj Kopecsni, 2009.
"Modeling Bank Loan LGD of Corporate and SME Segments: A Case Study,"
Czech Journal of Economics and Finance (Finance a uver),
Charles University Prague, Faculty of Social Sciences, vol. 59(4), pages 360-382, Oktober.
- Radovan Chalupka & Juraj Kopecsni, 2008. "Modelling Bank Loan LGD of Corporate and SME Segments: A Case Study," Working Papers IES 2008/27, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2008.
- Thorburn, Karin S., 2000. "Bankruptcy auctions: costs, debt recovery, and firm survival," Journal of Financial Economics, Elsevier, vol. 58(3), pages 337-368, December.
- Jakub Seidler & Petr Jakubík, 2009. "Implied Market Loss Given Default in the Czech Republic: Structural-Model Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(1), pages 20-40, January.
- Jon Frye, 2000. "Depressing recoveries," Emerging Issues, Federal Reserve Bank of Chicago, issue Oct.
- Mark Carey, 1998. "Credit Risk in Private Debt Portfolios," Journal of Finance, American Finance Association, vol. 53(4), pages 1363-1387, 08.
When requesting a correction, please mention this item's handle: RePEc:fau:fauart:v:59:y:2009:i:4:p:360-382. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lenka Herrmannova)
If references are entirely missing, you can add them using this form.