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Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation

Betz, Jennifer, Kellner, Ralf and Rösch, Daniel (2018) Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation. European Journal of Operational Research 271, pp. 1113-1144.

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Abstract

Banks are obliged to provide downturn estimates for loss given defaults (LGDs) in the internal ratings-based approach. While downturn conditions are characterized by systematically higher LGDs, it is unclear which factors may best capture these conditions. As LGDs depend on recovery payments which are collected during varying economic conditions in the resolution process, it is challenging to ...

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Item type:Article
Date:2018
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Identification Number:
ValueType
10.1016/j.ejor.2018.05.059DOI
Keywords:Risk management, Bank loans, Credit risk, Random effects
Dewey Decimal Classification:300 Social sciences > 310 General statistics
300 Social sciences > 330 Economics
600 Technology > 650 Management & auxiliary services
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:40080
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