IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Loss Given Default: um estudo sobre perdas em operações prefixadas no mercado brasileiro

  • Antonio Carlos Magalhães da Silva
  • Jaqueline Terra Moura Marins
  • Myrian Beatriz Eiras das Neves

Using data drawn from the Brazilian Central Bank Credit Information System (SCR), this paper investigates the loss incurred by financial institutions given clients defaults - Loss Given Default (LGD) - in Brazilian credit market from January 2003 to September 2007. According to Basel II, it is necessary to calculate LGD to evaluate credit risk in IRB Advanced approach. Selecting a sample of 9.557 non-retail credit operations, we calculate their LGD based on the opportunity cost incurred during the default period and on the principal loss. Other recovery costs were not taken into account. According to the results, the empirical probability distribution of LGD is bimodal, ranging on average between 47% and 92%. Using a Tobit model, we verified that variables related to economic activity level, collateral, exposure size and renegotiation influenced LGD behavior. Results were similar to Dermine and Carvalho (2006), Asarnow and Edwards (1995), Schuermann (2004) and Hurt and Felsovalyi (1998).

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.bcb.gov.br/pec/wps/port/wps193.pdf
Download Restriction: no

Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 193.

as
in new window

Length:
Date of creation: Sep 2009
Date of revision:
Handle: RePEc:bcb:wpaper:193
Contact details of provider: Web page: http://www.bcb.gov.br/?english

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:bcb:wpaper:193. 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: (Francisco Marcos Rodrigues Figueiredo)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.