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Bank loan losses-given-default: A case study · Study

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ArticleBank loan losses-given-default: A case study

Jean Dermine2005

Article2005

Bank loan losses-given-default: A case study

Jean Dermine · Cristina Neto de Carvalho

191 citations·0/0 files stored·Journal of Banking & Finance

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Credit Risk and Financial Regulations Banking stability, regulation, efficiency Financial Distress and Bankruptcy Prediction

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References

1992Liquidation Values and Debt Capacity: A Market Equilibrium Approach 2000A comparative analysis of current credit risk models 2002Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*2000Stability of rating transitions 1989Measuring Corporate Bond Mortality and Performance 2003Related Lending 1998Managing Credit Risk:The Next Great Financial Challenge

Cited by

2008Loss given default of high loan-to-value residential mortgages 2010Forecasting bank loans loss-given-default 2011Loss given default models incorporating macroeconomic variables for credit cards 2011Comparison of modeling methods for Loss Given Default 2011The determinants of bank loan recovery rates 2014Support vector regression for loss given default modelling

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2003Default Recovery Rates in Credit Risk Modeling: A Review of the Literature and Empirical Evidencereport · 5 shared references 2010The Cross Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreadsarticle · 5 shared references 2012Default Recovery Rates and Lgd in Credit Risk Modelling and Practicechapter · 5 shared references 2004Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidencearticle · 4 shared references 2005A Survey of Cyclical Effects in Credit Risk Measurement Modelspreprint · 4 shared references 2008Default recovery rates and LGD in credit risk modelling and practice: An updated review of the literature and empirical evidencechapter · 4 shared references

Details

Year2005

Typearticle

Published2005-06-28

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations191

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jbankfin.2005.05.005

openalex_workW1997603452

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2010

Monitoring Pro-Cyclicality under the Capital Requirements Directive: Preliminary Concepts for Developing a Framework

2010Comparisons of linear regression and survival analysis using single and mixture distributions approaches in modelling LGD