Results 231 to 240 of about 177,318 (256)

Correlation between default events and loss given default and downturn loss given default in Basel II

The Journal of Credit Risk, 2007
Zailong Wan, Ashish Dev
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Modelling examples of loss given default and probability of default [PDF]

, 2011
The Basel II accord regulates risk and capital management requirements to ensure that a bank holds enough capital proportional to the exposed risk of its lending practices. Under the advanced internal ratings based (IRB) approach, Basel II allows banks to develop their own empirical models based on historical data for probability of default (PD), loss ...
openaire  

Debt Contracts and Loss Given Default

2011
This study explores how accounting information available to lenders at the contracting date shapes debt contracts by facilitating lenders' assessment of loss given default (LGD). LGD, defined as the percentage loss experienced per $1 of debt if default occurs, is closely related to the notion of liquidation value which is central to debt contracting ...
openaire   +1 more source

Modelling Downturn Loss Given Default [PDF]

, 2012
Basel II requires that the internal estimates of Loss Given Default (LGD) reflect economic downturn conditions, thus modelling the "downturn LGD". In this work we suggest a methodology to estimate the downturn LGD distribution. Under the assumption that LGD is a mixture of an expansion and a recession distribution, an accurate parametric model for LGD ...
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L: Lärmschutzverordnung – Loss given default

2013
Festsetzung der Immissionsgrenzwerte fur Verkehrsgerausche. Mit der Verordnung sind die von den Verwaltungen zu beachtenden Immissionsgrenzwerte festgelegt, wobei die gestiegenen Anforderungen an den Larmschutz berucksichtigt wurden. Nachfolgende Grenzwerte in Dezibel durfen beim Bau und der wesentlichen Anderung von Strasen und Schienenwegen nicht ...
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Loss Given Default - A Review of the Literature

2005
This Chapter surveys the literature on the estimation of expected LGD and recovery risk, critically discussing the various ways it was dealt with under different approaches (structural models, reduced-form models, portfolio models) and highlighting avenues for future research.
E. I. Altman, RESTI, ANDREA CESARE, SIRONI, ANDREA   +2 more
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Loss given default or default status: Which is better to determine farmers’ credit ratings?

Finance Research Letters, 2023
Nana Chai, Baofeng Shi
exaly  

Time Matters: How Default Resolution Times Impact Final Loss Rates

Journal of the Royal Statistical Society Series C: Applied Statistics, 2021
Ralf Kellner, Daniel Rosch
exaly  

Private mortgage securitization and loss given default

Real Estate Economics, 2022
Abdullah Yavas, Shuang Zhu
exaly  

Forecast combination approach in the loss given default estimation

Applied Economics Letters, 2021
Wojciech Starosta
exaly