Results 21 to 30 of about 177,318 (256)
Loss given default in SME leasing [PDF]
Review of Managerial Science, 2021 AbstractLeasing provides a fundamental source of firm funding, especially for small and medium-sized enterprises. A crucial difference from loans and bonds is that the lessor retains ownership rights of the leased asset during the lease term. This facilitates the asset utilization and work-out process and leads to higher liquidation proceeds.
Florian Kaposty +3 more
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Two Models of Stochastic Loss Given Default [PDF]
SSRN Electronic Journal, 2012 We propose two structural models for stochastic losses given default which allow to model the credit losses of a portfolio of defaultable financial instruments. The credit losses are integrated into a structural model of default events accounting for correlations between the default events and the associated losses.
Simone Farinelli, Mykhaylo Shkolnikov
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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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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
doaj
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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Impact of Estimating Fair Values of Bank Loans Using the Approach of the International Financial Reporting Standards (Case Study: An Iranian Bank) [PDF]
بررسیهای حسابداری و حسابرسی, 2018 In this paper, fair value and impairment of an Iranian bank's loan portfolio is estimated using the approach of International Financial Reporting Standards and the result is compared with values using the approach of Central Bank of Iran which is based ...
Mina Moghadasi Nikjeh +3 more
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Goodness-of-Fit of Logistic Regression of the Default Rate on GDP Growth Rate and on CDX Indices
Mathematics, 2021 Under the Basel II and Basel III agreements, the probability of default (PD) is a key parameter used in calculating expected credit loss (ECL), which is typically defined as: PD × Loss Given Default × Exposure at Default.
Kuang-Hua Hu +3 more
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Importance Sampling in the Presence of PD-LGD Correlation
Risks, 2020 This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large deviation probabilities for the loss on a portfolio of loans. Related literature typically assumes that realised losses on defaulted loans can
Adam Metzler, Alexandre Scott
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