IDEAS home Printed from
   My bibliography  Save this paper

The impact of macroeconomic factors on collateral value within the framework of expected credit loss calculation


  • Yurchenko, Yurii


The study examines the impact of macroeconomic factors on the expected credit losses of a financial instrument related to changes in the value of collateral. The author has developed a method of calculating this impact on the basis of econometric models, as well as simulated the effect on expected credit losses and reserves on a financial instrument. Based on the proposed approach, appropriate models have been constructed based on the data of the US and Ukrainian economies for the maximum period available, taking into account the adequacy of the data. In particular, it has been shown that applying the methodology of adjusting collateral value to macroeconomic factors can lead to a reduction of the reserve according to the requirements of the regulator, i.e. from the financial institution's point of view it is possible to release some of the funds additionally.

Suggested Citation

  • Yurchenko, Yurii, 2019. "The impact of macroeconomic factors on collateral value within the framework of expected credit loss calculation," MPRA Paper 97135, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:97135

    Download full text from publisher

    File URL:
    File Function: original version
    Download Restriction: no

    More about this item


    LGD; Collateral value; OLS; Credit risk; valuation; GLM;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill


    Access and download statistics


    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:pra:mprapa:97135. 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: (Joachim Winter). General contact details of provider: .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.