Results 11 to 20 of about 7,541,076 (252)
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 +2 more
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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
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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 +2 more
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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
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Modeling Recovery Rates of Small- and Medium-Sized Entities in the US
Mathematics, 2020 A sound statistical model for recovery rates is required for various applications in quantitative risk management, with the computation of capital requirements for loan portfolios as one important example.
Aleksey Min +3 more
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Risks, 2019 We propose an alternative approach to the modeling of the positive dependence between the probability of default and the loss given default in a portfolio of exposures, using a bivariate urn process.
Dan Cheng, Pasquale Cirillo
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Modelling loss given default of corporate bonds and bank loans [PDF]
, 2015 Loss given default (LGD) modelling has become increasingly important for banks as they are required to comply with the Basel Accords for their internal computations of economic capital.
Yao, Xiao
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Risks, 2023 The International Financial Reporting Standard (IFRS) 9 relates to the recognition of an entity’s financial asset/liability in its financial statement, and includes an expected credit loss (ECL) framework for recognising impairment. The quantification of
Douw Gerbrand Breed +6 more
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Loss given default determinants in a commercial bank lending: an emerging market case study [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2010 The purpose of this paper is to analyse the loss given default (LGD) determinants in case of a typical loan portfolio consisting of SME loans in a commercial bank operating in one of the quickly developing banking markets, i.e. in Slovenia.
Jure Poljšak, Marko Košak
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The study on risk avoidance of transaction default based on the herding effect
Systems Science & Control Engineering, 2021 There is a widespread phenomenon of trading goods ordered in advance in the commodity market, and consumers choose to imitate others for security reasons, to form a herd phenomenon of following the trend and following the crowd, this has become an ...
Liang Wu
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