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Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loan‐to‐value Ratios

Citations

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Cited by:

  1. Stefan Hlawatsch & Sebastian Ostrowski, 2010. "Simulation and Estimation of Loss Given Default," FEMM Working Papers 100010, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  2. Cao, Erbao & Yu, Man, 2019. "The bright side of carbon emission permits on supply chain financing and performance," Omega, Elsevier, vol. 88(C), pages 24-39.
  3. Yuki Itoh, 2008. "Recovery Process Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 307-347, December.
  4. García-Vega, María & Guariglia, Alessandra & Spaliara, Marina-Eliza, 2012. "Volatility, financial constraints, and trade," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 57-76.
  5. Ran Zhang & Jing Zhang & Shuang Xu, 2015. "Determining pledged loan-to-value ratio: an option pricing perspective," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 1(1), pages 1-13, December.
  6. Hong Kong Monetary Authority, 2008. "The housing market channel of the monetary transmission mechanism in Hong Kong," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 221-234, Bank for International Settlements.
  7. Linda Allen & Anthony Saunders, 2003. "A survey of cyclical effects in credit risk measurement model," BIS Working Papers 126, Bank for International Settlements.
  8. Hui, C.H. & Lo, C.F. & Wong, T.C. & Man, P.K., 2006. "Measuring provisions for collateralised retail lending," Journal of Economics and Business, Elsevier, vol. 58(4), pages 343-361.
  9. Qiang Lin & Ying Peng, 2021. "Incentive mechanism to prevent moral hazard in online supply chain finance," Electronic Commerce Research, Springer, vol. 21(2), pages 571-598, June.
  10. Hui Zhang & Wenyu Meng & Xiaojie Wang & Jianwei Zhang, 2017. "Application of BSDE in Standard Inventory Financing Loan," Discrete Dynamics in Nature and Society, Hindawi, vol. 2017, pages 1-6, June.
  11. Tsai, Ming-Shann & Liao, Szu-Lang & Chiang, Shu-Ling, 2009. "Analyzing yield, duration and convexity of mortgage loans under prepayment and default risks," Journal of Housing Economics, Elsevier, vol. 18(2), pages 92-103, June.
  12. Do, Hung Xuan & Rösch, Daniel & Scheule, Harald, 2018. "Predicting loss severities for residential mortgage loans: A three-step selection approach," European Journal of Operational Research, Elsevier, vol. 270(1), pages 246-259.
  13. Winsen, Joseph K., 2010. "An overview of project finance binomial loan valuation," Review of Financial Economics, Elsevier, vol. 19(2), pages 84-89, April.
  14. Jean-David Fermanian, 2020. "On the Dependence between Default Risk and Recovery Rates in Structural Models," Annals of Economics and Statistics, GENES, issue 140, pages 45-82.
  15. Szu‐Lang Liao & Ming‐Shann Tsai & Shu‐Ling Chiang, 2008. "Closed‐Form Mortgage Valuation Using Reduced‐Form Model," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(2), pages 313-347, June.
  16. Rafal M. Wojakowski & M. Shahid Ebrahim & Aziz Jaafar & Murizah Osman Salleh, 2019. "Can Loan Valuation Adjustment (LVA) approach immunize collateralized debt from defaults?," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 28(2), pages 141-158, May.
  17. Maria Stefanova, 2012. "Recovery Risiko in der Kreditportfoliomodellierung," Springer Books, Springer, number 978-3-8349-4226-5, January.
  18. Christian Riis Flor, 2008. "Capital Structure and Assets: Effects of an Implicit Collateral," European Financial Management, European Financial Management Association, vol. 14(2), pages 347-373, March.
  19. Joseph K. Winsen, 2010. "An overview of project finance binomial loan valuation," Review of Financial Economics, John Wiley & Sons, vol. 19(2), pages 84-89, April.
  20. Ebrahim, M. Shahid & Jaafar, Aziz & Omar, Fatma A. & Salleh, Murizah Osman, 2016. "Can Islamic injunctions indemnify the structural flaws of securitized debt?," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 271-286.
  21. Craigwell, Roland C & Elliott, Wayne A, 2011. "Loan loss provisioning in the commercial banking system of Barbados: practices and determinants," MPRA Paper 33426, University Library of Munich, Germany.
  22. Peter-Hendrik Ingermann & Frederik Hesse & Christian Bélorgey & Andreas Pfingsten, 2016. "The recovery rate for retail and commercial customers in Germany: a look at collateral and its adjusted market values," Business Research, Springer;German Academic Association for Business Research, vol. 9(2), pages 179-228, August.
  23. Juan, He & Xianglin, Jiang & Jian, Wang & Daoli, Zhu & Lei, Zhen, 2012. "VaR methods for the dynamic impawn rate of steel in inventory financing under autocorrelative return," European Journal of Operational Research, Elsevier, vol. 223(1), pages 106-115.
  24. Jacobi Osnat & Sher Noam, 2015. "A Commitment Mechanism to Eliminate Willful Contract Litigation," Review of Law & Economics, De Gruyter, vol. 11(2), pages 231-266, July.
  25. Yuta Tanoue & Satoshi Yamashita & Hideaki Nagahata, 2020. "Comparison study of two-step LGD estimation model with probability machines," Risk Management, Palgrave Macmillan, vol. 22(3), pages 155-177, September.
  26. Xia, Yufei & Zhao, Junhao & He, Lingyun & Li, Yinguo & Yang, Xiaoli, 2021. "Forecasting loss given default for peer-to-peer loans via heterogeneous stacking ensemble approach," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1590-1613.
  27. Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(2), pages 161-191, October.
  28. Ming Shann Tsai & Shu Ling Chiang, 2015. "A General Pricing Model for a Mortgage Insurance Contract Considering the Effects of Multivariate Random Variables on Termination Probabilities and Loss Rate," Housing Policy Debate, Taylor & Francis Journals, vol. 25(2), pages 289-307, April.
  29. Tao Peng, 2010. "Portfolio Credit Risk Modelling and CDO Pricing - Analytics and Implied Trees from CDO Tranches," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 8, July-Dece.
  30. Francisco J. Callado†Muñoz & Fernando Restoy, 2011. "Collateral in Monetary Policy Operations," European Financial Management, European Financial Management Association, vol. 17(2), pages 286-304, March.
  31. Michael Jacobs, Jr, 2011. "An option theoretic model for ultimate loss-given-default with systematic recovery risk and stochastic returns on defaulted debt," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 257-285, Bank for International Settlements.
  32. Tao Peng, 2010. "Portfolio Credit Risk Modelling and CDO Pricing - Analytics and Implied Trees from CDO Tranches," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2010, January-A.
  33. Emily Johnston Ross & Lynn Shibut, 2021. "Loss Given Default, Loan Seasoning and Financial Fragility: Evidence from Commercial Real Estate Loans at Failed Banks," The Journal of Real Estate Finance and Economics, Springer, vol. 63(4), pages 630-661, November.
  34. repec:zbw:bofrdp:2010_022 is not listed on IDEAS
  35. Stefano Gatti & Alvaro Rigamonti & Francesco Saita & Mauro Senati, 2007. "Measuring Value‐at‐Risk in Project Finance Transactions," European Financial Management, European Financial Management Association, vol. 13(1), pages 135-158, January.
  36. Frontczak, Robert & Rostek, Stefan, 2015. "Modeling loss given default with stochastic collateral," Economic Modelling, Elsevier, vol. 44(C), pages 162-170.
  37. Niinimäki, Juha-Pekka, 2010. "Moral hazard in the credit market when the collateral value is stochastic," Research Discussion Papers 22/2010, Bank of Finland.
  38. Peng Xu, 2016. "Analysis on Logistic Contract for FPLs Two-sided Bargaining Game in Agricultural Product Financing," Business and Management Research, Business and Management Research, Sciedu Press, vol. 5(3), pages 30-35, September.
  39. Benjamin Bade & Daniel Rösch & Harald Scheule, 2011. "Default and Recovery Risk Dependencies in a Simple Credit Risk Model," European Financial Management, European Financial Management Association, vol. 17(1), pages 120-144, January.
  40. Zhang, Shuai & Hou, Xinyu & Ba, Shusong, 2021. "What determines interest rates for bitcoin lending?," Research in International Business and Finance, Elsevier, vol. 58(C).
  41. Jiali Liao & Ted Theodosopoulos, 2005. "Study on optimal timing of mark-to-market for contingent credit risk control," Papers math/0506077, arXiv.org.
  42. Marco Realdon, 2006. "Pricing the Credit Risk of Secured Debt and Financial Leasing," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(7‐8), pages 1298-1320, September.
  43. Niinimäki, Juha-Pekka, 2010. "Moral hazard in the credit market when the collateral value is stochastic," Bank of Finland Research Discussion Papers 22/2010, Bank of Finland.
  44. Han, Chulwoo & Jang, Youngmin, 2013. "Effects of debt collection practices on loss given default," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 21-31.
  45. Leow, Mindy & Mues, Christophe, 2012. "Predicting loss given default (LGD) for residential mortgage loans: A two-stage model and empirical evidence for UK bank data," International Journal of Forecasting, Elsevier, vol. 28(1), pages 183-195.
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