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Time matters: How default resolution times impact final loss rates

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Betz, Jennifer ; Kellner, Ralf ; Rösch, Daniel
Date of publication of this fulltext: 15 Feb 2022 07:29


Using access to a unique bank loss database, we find positive dependencies of default resolution times (DRTs) of defaulted bank loan contracts and final loan loss rates (losses given default, LGDs). Due to this interconnection, LGD predictions made at the time of default and during resolution are subject to censoring. Pure (standard) LGD models are not able to capture effects of censoring. ...


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