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Resolution of defaulted loan contracts - An empirical analysis of default resolution time and loss given default

Betz, Jennifer (2018) Resolution of defaulted loan contracts - An empirical analysis of default resolution time and loss given default. Center of Finance - Dissertation series 2, PhD, Universität Regensburg.

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Date of publication of this fulltext: 16 Aug 2018 07:16

Abstract (English)

This cumulative doctoral thesis contributes to the broad literature on credit risk management and regulation. Following Basel II / III, financial institutions are allowed to use own estimates of central credit risk parameters to calculate their capital needs. Besides the probability of default (PD) and the exposure at default (EAD), the loss given default (LGD) is in the focus of modeling efforts ...

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Translation of the abstract (German)

Diese Doktorarbeit liefert einen Beitrag zur umfangreichen Literatur des Kreditrisikomanagements und der Kreditrisikoregulierung. Nach Basel II / III ist es Finanzinstitutionen gestattet ihre Eigenkapitalunterlegung basierend auf eigenen Schätzungen für die zentralen Kreditrisikoparameter zu kalkulieren. Neben der Ausfallwahrscheinlichkeit (probability of default, PD) und dem ausstehenden ...

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Item type:Thesis of the University of Regensburg (PhD)
Series of the University of Regensburg:Center of Finance - Dissertation series
Date:16 August 2018
Referee:Prof. Dr. Daniel Rösch
Date of exam:11 July 2018
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre
Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Related URLs:
URLURL Type
https://doi.org/10.1016/j.frl.2016.03.013Publisher
https://doi.org/10.1016/j.jbankfin.2017.09.008Publisher
https://doi.org/10.1016/j.ejor.2018.05.059Publisher
Classification:
NotationType
C23Journal of Economics Literature Classification
C51Journal of Economics Literature Classification
G01Journal of Economics Literature Classification
G21Journal of Economics Literature Classification
G28Journal of Economics Literature Classification
G33Journal of Economics Literature Classification
Keywords:risk management; credit risk; bank loans; resolution bias; time to resolution; default resolution time; loss given default; systematic effects; random effects; latent factors
Dewey Decimal Classification:300 Social sciences > 310 General statistics
300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:37600
Owner only: item control page

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