IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-030-99638-3_64.html
   My bibliography  Save this book chapter

Estimating Recovery Curve for NPLs

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Roberto Rocci

    (Sapienza University)

  • Alessandra Carleo

    (Roma Tre University)

  • Maria Sole Staffa

    (European University)

Abstract

The objective of the present paper is to propose a new method to measure the recovery performance of a portfolio of non-performing loans (NPLs) in terms of recovery rate and time to liquidate. The fundamental idea is to draw a curve representing the recovery rates during time, here assumed discretized, for example, in years. In this way, the user can get simultaneously information about recovery rate and time to liquidate of the portfolio. In particular, it is discussed how to estimate such a curve in presence of right censored data, i.e. when the NPLs composing the portfolio have been observed in different periods. Uncertainty about the estimates is depicted trough confidence bands obtained by using the non-parametric Bootstrap. The effectiveness of the proposal is shown by applying the method to a real financial data set about some portfolios of Italian unsecured NPLs taken in charge by a specialized operator.

Suggested Citation

  • Roberto Rocci & Alessandra Carleo & Maria Sole Staffa, 2022. "Estimating Recovery Curve for NPLs," Springer Books, in: Marco Corazza & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 397-403, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-99638-3_64
    DOI: 10.1007/978-3-030-99638-3_64
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-030-99638-3_64. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.