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Bank loan losses-given-default: A case study
10 references·16 citing·46 second hop
Bank loan losses-given-default: A case study (2005)Bank loan losses-given-default: A case st…The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)The Link between Default and …What Do We Know About Loss Given Default? (2004)What Do We Know About Loss Gi…Related Lending (2003)Related LendingCredit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks (2002)Credit Risk in Two Institutio…Stability of rating transitions (2000)Stability of rating transitio…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Managing Credit Risk:The Next Great Financial Challenge (1998)Managing Credit Risk:The Next…Credit Risk in Private Debt Portfolios (1998)Credit Risk in Private Debt P…Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)Liquidation Values and Debt C…Measuring Corporate Bond Mortality and Performance (1989)Measuring Corporate Bond Mort…Downturn LGD modeling using quantile regression (2017)Downturn LGD modeling using q…Support vector regression for loss given default modelling (2014)Support vector regression for…MCDM APPROACH TO EVALUATING BANK LOAN DEFAULT MODELS (2014)MCDM APPROACH TO EVALUATING B…Forecasting Loss Given Default models: impact of account characteristics and the macroeconomic state (2014)Forecasting Loss Given Defaul…Improvements in loss given default forecasts for bank loans (2013)Improvements in loss given de…Ensemble Predictions of Recovery Rates (2013)Ensemble Predictions of Recov…The determinants of bank loan recovery rates (2011)The determinants of bank loan…Loss given default models incorporating macroeconomic variables for credit cards (2011)Loss given default models inc…Comparison of modeling methods for Loss Given Default (2011)Comparison of modeling method…Monitoring Pro-Cyclicality under the Capital Requirements Directive: Preliminary Concepts for Developing a Framework (2010)Monitoring Pro-Cyclicality un…Forecasting bank loans loss-given-default (2010)Forecasting bank loans loss-g…Comparisons of linear regression and survival analysis using single and mixture distributions approaches in modelling LGD (2010)Comparisons of linear regress…Modelling LGD for unsecured personal loans: decision tree approach (2009)Modelling LGD for unsecured p…The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans (2008)The Sensitivity of the Loss G…Recovery rates of commercial lending: Empirical evidence for German companies (2008)Recovery rates of commercial …Loss given default of high loan-to-value residential mortgages (2008)Loss given default of high lo…Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)The economics of small business finance: The roles of private equity and debt markets in the financial growth cycle (1998)Bank profitability and the business cycle (2008)Loan growth and riskiness of banks (2010)Banking-industry specific and regional economic determinants of non-performing loans: Evidence from US states (2015)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The Limits of Arbitrage (1995)A Survey of Corporate Governance (1997)Financial Intermediation and Delegated Monitoring (1984)The Relationship between Capital and Earnings in Banking (1995)Credit risk measurement: Developments over the last 20 years (1997)Parameterizing credit risk models with rating data (2001)Stress-Testing Financial Systems: An Overview of Current Methodologies (2007)The determinants of banks' credit risk: Review of the literature and future research agenda (2020)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modern Portfolio Theory and Investment Analysis. 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this work references cited by second hop

References

  • 1992Liquidation Values and Debt Capacity: A Market Equilibrium Approach2,901 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 2002Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks829 cited
  • 2005The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications*759 cited
  • 2000Stability of rating transitions562 cited
  • 1989Measuring Corporate Bond Mortality and Performance426 cited
  • 2003Related Lending358 cited
  • 1998Managing Credit Risk:The Next Great Financial Challenge303 cited
  • 2004What Do We Know About Loss Given Default?280 cited
  • 1998Credit Risk in Private Debt Portfolios247 cited

Cited by

  • 2008Loss given default of high loan-to-value residential mortgages193 cited
  • 2010Forecasting bank loans loss-given-default171 cited
  • 2011Loss given default models incorporating macroeconomic variables for credit cards161 cited
  • 2011Comparison of modeling methods for Loss Given Default151 cited
  • 2011The determinants of bank loan recovery rates109 cited

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2014
Support vector regression for loss given default modelling
105 cited
  • 2010Monitoring Pro-Cyclicality under the Capital Requirements Directive: Preliminary Concepts for Developing a Framework104 cited
  • 2010Comparisons of linear regression and survival analysis using single and mixture distributions approaches in modelling LGD96 cited
  • 2008The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans93 cited
  • 2013Improvements in loss given default forecasts for bank loans59 cited
  • 2009Modelling LGD for unsecured personal loans: decision tree approach57 cited
  • 2017Downturn LGD modeling using quantile regression48 cited
  • 2014Forecasting Loss Given Default models: impact of account characteristics and the macroeconomic state47 cited
  • 2013Ensemble Predictions of Recovery Rates47 cited
  • 2014MCDM APPROACH TO EVALUATING BANK LOAN DEFAULT MODELS46 cited
  • 2008Recovery rates of commercial lending: Empirical evidence for German companies44 cited