Add to ORKGThe main objective of this paper is to estimate a statistical model that incorporates information at different levels: collateral, facility, industry, zone and the macro economy to predict the Recovery Rates which will enable the bank to arrive at the Loss Given Default figure that would help to better price and manage credit risk. This estimated LGD can also play a critical role in meeting the Basel II requirements on advanced Internal Rating Based Approach (AIRB)
This research aims to identify the influential components on LGD by using Tobit regression on instit...
Empirijska literatura o kreditnom riziku uglavnom se temelji na modeliranju vjerojatnosti neispunjav...
The paper describes a theoretical approach to determine the downturn LGD for residential mortgages, ...
The main objective of this paper is to estimate a statistical model that incorporates information at...
The Basel II accord regulates risk and capital management requirements to ensure that a bank holds e...
Loss Given Default (LGD) is one of the key parameters needed in order to estimate expected and unexp...
PhD (Risk Analysis), North-West University, Potchefstroom CampusA stable financial system is essenti...
The Basel Committee offers banks the opportunity to estimate Loss Given Default (LGD) if they wish t...
Estimating Recovery Rate and Recovery Amount has taken a more importance in consumer credit because ...
We present a new approach to analyse historical recovery rates on distressed bank assets. Our approa...
The proposals of the Basel Committee on Banking Supervision for the revision of minimum requirements...
The Basel regulatory credit risk rules for expected losses require banks use downturn loss given def...
Estimating Recovery Rate and Recovery Amount has become important in consumer credit because of the ...
The Basel Accord regulates risk and capital requirements to ensure that a bank holds capital propor...
The purpose of this thesis is to determine and to better inform industry practitioners to the most a...
This research aims to identify the influential components on LGD by using Tobit regression on instit...
Empirijska literatura o kreditnom riziku uglavnom se temelji na modeliranju vjerojatnosti neispunjav...
The paper describes a theoretical approach to determine the downturn LGD for residential mortgages, ...
The main objective of this paper is to estimate a statistical model that incorporates information at...
The Basel II accord regulates risk and capital management requirements to ensure that a bank holds e...
Loss Given Default (LGD) is one of the key parameters needed in order to estimate expected and unexp...
PhD (Risk Analysis), North-West University, Potchefstroom CampusA stable financial system is essenti...
The Basel Committee offers banks the opportunity to estimate Loss Given Default (LGD) if they wish t...
Estimating Recovery Rate and Recovery Amount has taken a more importance in consumer credit because ...
We present a new approach to analyse historical recovery rates on distressed bank assets. Our approa...
The proposals of the Basel Committee on Banking Supervision for the revision of minimum requirements...
The Basel regulatory credit risk rules for expected losses require banks use downturn loss given def...
Estimating Recovery Rate and Recovery Amount has become important in consumer credit because of the ...
The Basel Accord regulates risk and capital requirements to ensure that a bank holds capital propor...
The purpose of this thesis is to determine and to better inform industry practitioners to the most a...
This research aims to identify the influential components on LGD by using Tobit regression on instit...
Empirijska literatura o kreditnom riziku uglavnom se temelji na modeliranju vjerojatnosti neispunjav...
The paper describes a theoretical approach to determine the downturn LGD for residential mortgages, ...