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Bank loan losses-given-default: A case study

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Cited by:

  1. Chen, Xiaowei & Wang, Gang & Zhang, Xiangting, 2019. "Modeling recovery rate for leveraged loans," Economic Modelling, Elsevier, vol. 81(C), pages 231-241.
  2. Christophe Hurlin & Jérémy Leymarie & Antoine Patin, 2018. "Loss functions for LGD model comparison," Working Papers halshs-01516147, HAL.
  3. Yao, Xiao & Crook, Jonathan & Andreeva, Galina, 2015. "Support vector regression for loss given default modelling," European Journal of Operational Research, Elsevier, vol. 240(2), pages 528-538.
  4. Kaposty, Florian & Kriebel, Johannes & Löderbusch, Matthias, 2020. "Predicting loss given default in leasing: A closer look at models and variable selection," International Journal of Forecasting, Elsevier, vol. 36(2), pages 248-266.
  5. Toshiro Masahiro & Tasaki Masao & Hikidera Yusuke & Hibiki Norio, 2019. "Estimating the Recovery Rates for Unsecured Loans to Small Sized Firms," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 13(2), pages 1-26, July.
  6. Matuszyk, Anna & So, Mee Chi & Mues, Christophe & Moore, Angela, 2016. "Modelling repayment patterns in the collections process for unsecured consumer debt: A case studyAuthor-Name: Thomas, Lyn C," European Journal of Operational Research, Elsevier, vol. 249(2), pages 476-486.
  7. Li, Jiyuan & Li, Zihui & Zhang, Min, 2023. "CFOs’ facial trustworthiness and bank loan contracts," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 332-357.
  8. Betz, Jennifer & Kellner, Ralf & Rösch, Daniel, 2018. "Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation," European Journal of Operational Research, Elsevier, vol. 271(3), pages 1113-1144.
  9. Cheng, Dan & Cirillo, Pasquale, 2018. "A reinforced urn process modeling of recovery rates and recovery times," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 1-17.
  10. Juri Marcucci & Paolo Emilio Mistrulli, 2013. "Female entrepreneurs in trouble: do their bad loans last longer?," Questioni di Economia e Finanza (Occasional Papers) 185, Bank of Italy, Economic Research and International Relations Area.
  11. Agata M. Lozinskaia & Evgeniy M. Ozhegov & Alexander M. Karminsky, 2016. "Discontinuity in Relative Credit Losses: Evidence from Defaults on Government-Insured Residential Mortgages," HSE Working papers WP BRP 55/FE/2016, National Research University Higher School of Economics.
  12. Wang, Hong & Forbes, Catherine S. & Fenech, Jean-Pierre & Vaz, John, 2020. "The determinants of bank loan recovery rates in good times and bad – New evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 875-897.
  13. Rapisarda, Grazia & Echeverry, David, 2010. "A Non-parametric Approach to Incorporating Incomplete Workouts Into Loss Given Default Estimates," MPRA Paper 26797, University Library of Munich, Germany, revised 16 Nov 2010.
  14. Diego Valderrama & Katheryn N. Russ, 2009. "A Theory of Banks, Bonds, and the Distribution of Firm Size," Working Papers 4, University of California, Davis, Department of Economics.
  15. Diana Bonfim & Daniel Dias, 2011. "What Happens After Default? Stylized Facts on Access to Credit," Working Papers w201101, Banco de Portugal, Economics and Research Department.
  16. Li, Aimin & Li, Zhiyong & Bellotti, Anthony, 2023. "Predicting loss given default of unsecured consumer loans with time-varying survival scores," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
  17. Qi, Min & Yang, Xiaolong, 2009. "Loss given default of high loan-to-value residential mortgages," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 788-799, May.
  18. João Bastos, 2014. "Ensemble Predictions of Recovery Rates," Journal of Financial Services Research, Springer;Western Finance Association, vol. 46(2), pages 177-193, October.
  19. Alexandre, Michel & Silva, Thiago Christiano & Michalak, Krzysztof & Rodrigues, Francisco Aparecido, 2023. "Does the default pecking order impact systemic risk? Evidence from Brazilian data," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1379-1391.
  20. Anaïs Périlleux & Ariane Szafarz, 2022. "Women in the boardroom: a bottom–up approach to the trickle-down effect," Small Business Economics, Springer, vol. 58(4), pages 1783-1800, April.
  21. Nancy Masschelein, 2007. "Monitoring pro-cyclicality under the capital requirements directive : preliminary concepts for developing a framework," Working Paper Document 120, National Bank of Belgium.
  22. W. Scott Frame & Nika Lazaryan & Ping McLemore & Atanas Mihov, 2022. "Operational Loss Recoveries and the Macroeconomic Environment: Evidence from the U.S. Banking Sector," Working Papers 2215, Federal Reserve Bank of Dallas.
  23. Chiang, Shu Ling & Yang, Tyler T. & Tsai, Ming Shann, 2016. "Assessing mortgage servicing rights using a reduced-form model: Considering the effects of interest rate risks, prepayment and default risks, and random state variables," Journal of Housing Economics, Elsevier, vol. 32(C), pages 29-46.
  24. Chen, Rongda & Zhou, Hanxian & Jin, Chenglu & Zheng, Wei, 2019. "Modeling of recovery rate for a given default by non-parametric method," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
  25. 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.
  26. Curti, Filippo & Mihov, Atanas, 2018. "Fraud recovery and the quality of country governance," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 446-461.
  27. Aneta Ptak-Chmielewska & Paweł Kopciuszewski, 2023. "Application of the Bayesian approach in loss given default modelling," Bank i Kredyt, Narodowy Bank Polski, vol. 54(6), pages 625-650.
  28. Poutineau, Jean-Christophe & Vermandel, Gauthier, 2017. "Global banking and the conduct of macroprudential policy in a monetary union," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 306-331.
  29. Betz, Jennifer & Kellner, Ralf & Rösch, Daniel, 2016. "What drives the time to resolution of defaulted bank loans?," Finance Research Letters, Elsevier, vol. 18(C), pages 7-31.
  30. Christoph Memmel & Angelika Sachs & Ingrid Stein, 2012. "Contagion in the Interbank Market with Stochastic Loss Given Default," International Journal of Central Banking, International Journal of Central Banking, vol. 8(3), pages 177-206, September.
  31. 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.
  32. 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.
  33. Thamayanthi Chellathurai, 2017. "Probability Density Of Recovery Rate Given Default Of A Firm’S Debt And Its Constituent Tranches," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-34, June.
  34. 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.
  35. Yuki Itoh, 2009. "Recovery Process Model for Two Companies," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 287-331, December.
  36. Hurlin, Christophe & Leymarie, Jérémy & Patin, Antoine, 2018. "Loss functions for Loss Given Default model comparison," European Journal of Operational Research, Elsevier, vol. 268(1), pages 348-360.
  37. Tomas Konecny & Jakub Seidler & Aelta Belyaeva & Konstantin Belyaev, 2017. "The Time Dimension of the Links Between Loss Given Default and the Macroeconomy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(6), pages 462-491, October.
  38. Calabrese, Raffaella, 2014. "Downturn Loss Given Default: Mixture distribution estimation," European Journal of Operational Research, Elsevier, vol. 237(1), pages 271-277.
  39. Calabrese, Raffaella & Zenga, Michele, 2010. "Bank loan recovery rates: Measuring and nonparametric density estimation," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 903-911, May.
  40. Aneta Ptak-Chmielewska & Paweł Kopciuszewski & Anna Matuszyk, 2023. "Application of the kNN-Based Method and Survival Approach in Estimating Loss Given Default for Unresolved Cases," Risks, MDPI, vol. 11(2), pages 1-14, February.
  41. Krüger, Steffen & Rösch, Daniel, 2017. "Downturn LGD modeling using quantile regression," Journal of Banking & Finance, Elsevier, vol. 79(C), pages 42-56.
  42. Bai, Haifeng & Ba, Shusong & Huang, Wenli & Hu, Wentao, 2020. "Expected government support and bank risk-taking: Evidence from China," Finance Research Letters, Elsevier, vol. 36(C).
  43. 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.
  44. Ruey-Ching Hwang & Chih-Kang Chu & Kaizhi Yu, 2021. "Predicting the Loss Given Default Distribution with the Zero-Inflated Censored Beta-Mixture Regression that Allows Probability Masses and Bimodality," Journal of Financial Services Research, Springer;Western Finance Association, vol. 59(3), pages 143-172, June.
  45. Stephan Höcht & Aleksey Min & Jakub Wieczorek & Rudi Zagst, 2022. "Explaining Aggregated Recovery Rates," Risks, MDPI, vol. 10(1), pages 1-30, January.
  46. Wojciech Starosta, 2020. "Modelling Recovery Rate for Incomplete Defaults Using Time Varying Predictors," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(2), pages 195-225, June.
  47. Abu, Benjamin Musah & Domanban, Paul Bata & Haruna, Issahaku, 2017. "Microcredit Loan Repayment Default among Small Scale Enterprises: A Double Hurdle Approach," MPRA Paper 101576, University Library of Munich, Germany, revised 12 Mar 2017.
  48. Bastos, João A. & Matos, Sara M., 2022. "Explainable models of credit losses," European Journal of Operational Research, Elsevier, vol. 301(1), pages 386-394.
  49. Nithi Sopitpongstorn & Param Silvapulle & Jiti Gao, 2017. "Local logit regression for recovery rate," Monash Econometrics and Business Statistics Working Papers 19/17, Monash University, Department of Econometrics and Business Statistics.
  50. 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.
  51. Bastos, João A., 2010. "Forecasting bank loans loss-given-default," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2510-2517, October.
  52. Florian Kaposty & Philipp Klein & Matthias Löderbusch & Andreas Pfingsten, 2022. "Loss given default in SME leasing," Review of Managerial Science, Springer, vol. 16(5), pages 1561-1597, July.
  53. H J Jeon & S Y Sohn, 2008. "The risk management for technology credit guarantee fund," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 59(12), pages 1624-1632, December.
  54. Khieu, Hinh D. & Mullineaux, Donald J. & Yi, Ha-Chin, 2012. "The determinants of bank loan recovery rates," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 923-933.
  55. 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.
  56. González, Marta Ramos & Ureña, Antonio Partal & Fernández-Aguado, Pilar Gómez, 2018. "Proposal on ELBE and LGD in-default: tackling capital requirements after the financial crisis," Working Paper Series 2165, European Central Bank.
  57. Stefano Caselli & Stefano Gatti & Francesca Querci, 2008. "The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans," Journal of Financial Services Research, Springer;Western Finance Association, vol. 34(1), pages 1-34, August.
  58. Zhang, Jie & Thomas, Lyn C., 2012. "Comparisons of linear regression and survival analysis using single and mixture distributions approaches in modelling LGD," International Journal of Forecasting, Elsevier, vol. 28(1), pages 204-215.
  59. 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.
  60. Raffaella Calabrese, 2012. "Estimating bank loans loss given default by generalized additive models," Working Papers 201224, Geary Institute, University College Dublin.
  61. Park, Yun W. & Bang, Doo Won, 2014. "Loss given default of residential mortgages in a low LTV regime: Role of foreclosure auction process and housing market cycles," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 192-210.
  62. Antão, Paula & Lacerda, Ana, 2011. "Capital requirements under the credit risk-based framework," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1380-1390, June.
  63. Bonfim, Diana & Dias, Daniel A. & Richmond, Christine, 2012. "What happens after corporate default? Stylized facts on access to credit," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2007-2025.
  64. 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.
  65. Yao, Xiao & Crook, Jonathan & Andreeva, Galina, 2017. "Is it obligor or instrument that explains recovery rate: Evidence from US corporate bond," Journal of Financial Stability, Elsevier, vol. 28(C), pages 1-15.
  66. Grunert, Jens & Weber, Martin, 2009. "Recovery rates of commercial lending: Empirical evidence for German companies," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 505-513, March.
  67. Tanoue, Yuta & Kawada, Akihiro & Yamashita, Satoshi, 2017. "Forecasting loss given default of bank loans with multi-stage model," International Journal of Forecasting, Elsevier, vol. 33(2), pages 513-522.
  68. Huang, Jiang-Chuan & Huang, Chin-Sheng, 2011. "The effects of bank relationships on firm private debt restructuring: Evidence from an emerging market," Research in International Business and Finance, Elsevier, vol. 25(1), pages 113-125, January.
  69. N.V.V. Satyanarayana Puchakayala & Ramanujam Veluchamy, 2023. "Optimal bankruptcy regime: a literature review," Future Business Journal, Springer, vol. 9(1), pages 1-10, December.
  70. Russ, Katheryn N. & Valderrama, Diego, 2012. "A theory of bank versus bond finance and intra-industry reallocation," Journal of Macroeconomics, Elsevier, vol. 34(3), pages 652-673.
  71. Gürtler, Marc & Hibbeln, Martin, 2013. "Improvements in loss given default forecasts for bank loans," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2354-2366.
  72. Qi, Min & Zhao, Xinlei, 2011. "Comparison of modeling methods for Loss Given Default," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2842-2855, November.
  73. Lozinskaia Agata & Ozhegov Evgeniy, 2016. "Key Determinants of Demand, Credit Underwriting, and Performance on Government-Insured Mortgage Loans in Russia," EERC Working Paper Series 16/03e, EERC Research Network, Russia and CIS.
  74. Marko Kosak & Jure Poljsak, 2010. "Loss given default determinants in a commercial bank lending: an emerging market case study," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 28(1), pages 61-88.
  75. Frank Ranganai Matenda & Mabutho Sibanda & Eriyoti Chikodza & Victor Gumbo, 2022. "Corporate Loan Recovery Rates under Downturn Conditions in a Developing Economy: Evidence from Zimbabwe," Risks, MDPI, vol. 10(10), pages 1-24, October.
  76. Jennifer Betz & Ralf Kellner & Daniel Rösch, 2021. "Time matters: How default resolution times impact final loss rates," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(3), pages 619-644, June.
  77. Raffaella Calabrese, 2012. "Regression Model for Proportions with Probability Masses at Zero and One," Working Papers 201209, Geary Institute, University College Dublin.
  78. Diego Valderrama & Katheryn N. Russ, "undated". "A Theory of Banks, Bonds, and the Distribution of Firm Size," Working Papers 915, University of California, Davis, Department of Economics.
  79. Marc Gürtler & Marvin Zöllner, 2023. "Heterogeneities among credit risk parameter distributions: the modality defines the best estimation method," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(1), pages 251-287, March.
  80. 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.
  81. Starosta, Wojciech, 2021. "Loss given default decomposition using mixture distributions of in-default events," European Journal of Operational Research, Elsevier, vol. 292(3), pages 1187-1199.
  82. Betz, Jennifer & Krüger, Steffen & Kellner, Ralf & Rösch, Daniel, 2020. "Macroeconomic effects and frailties in the resolution of non-performing loans," Journal of Banking & Finance, Elsevier, vol. 112(C).
  83. Aleksey Min & Matthias Scherer & Amelie Schischke & Rudi Zagst, 2020. "Modeling Recovery Rates of Small- and Medium-Sized Entities in the US," Mathematics, MDPI, vol. 8(11), pages 1-18, October.
  84. Johannes Kriebel & Kevin Yam, 2020. "Forecasting recoveries in debt collection: Debt collectors and information production," European Financial Management, European Financial Management Association, vol. 26(3), pages 537-559, June.
  85. Mili, Medhi & Sahut, Jean-Michel & Teulon, Frédéric, 2018. "Modeling recovery rates of corporate defaulted bonds in developed and developing countries," Emerging Markets Review, Elsevier, vol. 36(C), pages 28-44.
  86. Marta Ramos González & Antonio Partal Ureña & Pilar Gómez Fernández-Aguado, 2021. "Regulatory Estimates for Defaulted Exposures: A Case Study of Spanish Mortgages," Mathematics, MDPI, vol. 9(9), pages 1-9, April.
  87. Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek, 2012. "Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic," Working Papers 2012/12, Czech National Bank.
  88. Hibbeln, Martin & Gürtler, Marc, 2011. "Pitfalls in modeling loss given default of bank loans," Working Papers IF35V1, Technische Universität Braunschweig, Institute of Finance.
  89. Dermine, J. & Neto de Carvalho, C., 2008. "Bank loan-loss provisioning, central bank rules vs. estimation: The case of Portugal," Journal of Financial Stability, Elsevier, vol. 4(1), pages 1-22, April.
  90. 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.
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