Results 11 to 20 of about 177,318 (256)

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
doaj   +1 more source

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
doaj   +3 more sources

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
doaj   +1 more source

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, Gustavo de Magalhães Rezende   +1 more
doaj   +3 more sources

Exploring Industry-Distress Effects on Loan Recovery: A Double Machine Learning Approach for Quantiles

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
doaj   +1 more source

Application of the kNN-Based Method and Survival Approach in Estimating Loss Given Default for Unresolved Cases

Risks, 2023
A vast majority of Loss Given Default (LGD) models are currently in use. Over all the years since the new Capital Accord was published in June 2004, there has been increasing interest in the modelling of the LGD parameter on the part of both academics ...
Aneta Ptak-Chmielewska, Paweł Kopciuszewski, Anna Matuszyk   +2 more
doaj   +1 more source

Loss, Default, and Loss Given Default Modeling [PDF]

SSRN Electronic Journal, 2009
The goal of the Basle II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss given default parameter.
openaire   +3 more sources

The Determinants of Market-Implied Recovery Rates

Risks, 2019
In the presence of recovery risk, the recovery rate is a random variable whose risk-neutral expectation can be inferred from the prices of defaultable instruments.
Pascal François
doaj   +1 more source

Introducing Two Parsimonious Standard Power Mixture Models for Bimodal Proportional Data with Application to Loss Given Default

Mathematics, 2022
The need to model proportional data is common in a range of disciplines however, due to its bimodal nature, U- or J-shaped data present a particular challenge.
Janette Larney, Gerrit Lodewicus Grobler, James Samuel Allison   +2 more
doaj   +1 more source

Mathematical Estimation Methods and Models for Industrial Companies [PDF]

EPJ Web of Conferences, 2021
The collateralized debt obligations and credit default swaps applications are shown in this paper. The industry obligations secondary market risk estimation methods are considered in this work.
Stikhova Olga
doaj   +1 more source