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Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loan‐to‐value Ratios

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
1992Liquidation Values and Debt Capacity: A Market Equilibrium Approach2,901 cited
1999Modeling Term Structures of Defaultable Bonds2,547 cited
1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited

Cited by

2004Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature100 cited
2003Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Empirical Evidence72 cited
2007Measuring Value‐at‐Risk in Project Finance Transactions68 cited
2021Forecasting loss given default for peer-to-peer loans via heterogeneous stacking ensemble approach42 cited
2010Default and Recovery Risk Dependencies in a Simple Credit Risk Model39 cited
2016Can Islamic injunctions indemnify the structural flaws of securitized debt?36 cited
20032005), “The Link between Default and Recovery Rates35 cited
2012Effects of debt collection practices on loss given default32 cited

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2018

The Term Structure of Expected Recovery Rates

30 cited

2013The economy and loss given default: evidence from two UK retail lending data sets28 cited

2014Modeling loss given default with stochastic collateral28 cited

2019Incentive mechanism to prevent moral hazard in online supply chain finance22 cited

2018Predicting loss severities for residential mortgage loans: A three-step selection approach21 cited