Weighted Quantile Regression Forests for Bimodal Distribution Modeling: A Loss Given Default Case [PDF]
Entropy, 2020 Due to various regulations (e.g., the Basel III Accord), banks need to keep a specified amount of capital to reduce the impact of their insolvency. This equity can be calculated using, e.g., the Internal Rating Approach, enabling institutions to develop ...
Michał Gostkowski +1 more
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Loan level loss given default (LGD) study of Indian banks
IIMB Management Review, 2022 Loss given default (LGD) is a critical element in estimating expected as well as unexpected credit losses in banking business. This article investigates written-off history of Indian banks and provides estimates of LGD on loans across sectors, loan ...
Arindam Bandyopadhyay
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Adapting the Default Weighted Survival Analysis Modelling Approach to Model IFRS 9 LGD
Risks, 2021 Survival analysis is one of the techniques that could be used to predict loss given default (LGD) for regulatory capital (Basel) purposes. When using survival analysis to model LGD, a proposed methodology is the default weighted survival analysis (DWSA ...
Morne Joubert +3 more
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Quantifying uncertainty of machine learning methods for loss given default
Frontiers in Applied Mathematics and Statistics, 2022 Machine learning has increasingly found its way into the credit risk literature. When applied to forecasting credit risk parameters, the approaches have been found to outperform standard statistical models. The quantification of prediction uncertainty is
Matthias Nagl +2 more
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Investigating the impact of macroeconomic variables on Risk-Adjusted Return on Capital (RAROC) of Registered Banks on Tehran Stock Exchange and Iran Fara Bourse [PDF]
Journal of Asset Management and Financing, 2021 The Risk-Adjusted Return on Capital (RAROC), as a modern performance measure, is introduced in comparison to traditional performance measures and has been calculated for all the banks listed on the Tehran Stock Exchange and Iran Fara Bourse, based on a ...
Mohammad Sadegh Abdollahi Poor +2 more
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The supreme subprime myth: the role of bad loans in the 2007-2009 financial crisis
PSL Quarterly Review, 2012 Using simulations, we show that the probability of default and losses given default of subprime mortgage loans are small in comparison to their interest rates. The implication is that these loans are profitable for risk neutral efficient banks.
Alberto Niccoli, Francesco Marchionne
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The impact of discretionary loan loss provision of sharia financing on financial performance [PDF]
Banks and Bank Systems, 2019 This study aims to investigate the role of discretionary loan loss provision of sharia financing on the Islamic commercial banks’ financial performance in Indonesia.
Z Zulfikar, Wahyuni Sri
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Assessing the Loss Given Default of Bank Loans Using the Hybrid Algorithms Multi-Stage Model
Systems, 2023 The loss given default (LGD) is an important credit risk parameter in the regulatory system for financial institutions. Due to the complex structure of the LGD distribution, we propose a new approach, called the hybrid algorithms multi-stage (HMS) model,
Mengting Fan, Tsung-Hsien Wu, Qizhi Zhao
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Estimativas de loss given default em portfólios de crédito simulados
Navus: Revista de Gestão e Tecnologia, 2013 O acordo de Basileia II permite que os bancos utilizem modelos internos que sirvam de base para o cálculo dos requisitos mínimos de capital em virtude do nível de exposição ao risco de crédito.
Herbert Kimura +1 more
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Econometrics, 2023 In this study, we explore the effect of industry distress on recovery rates by using the unconditional quantile regression (UQR). The UQR provides better interpretative and thus policy-relevant information on the predictive effect of the target variable ...
Hui-Ching Chuang, Jau-er Chen
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