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Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation
16 references·0 citing·42 second hopsampled
Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation (2018)Systematic Effects among Loss Given Defau…Enhancing two-stage modelling methodology for loss given default with support vector machines (2017)Enhancing two-stage modelling…Support vector regression for loss given default modelling (2014)Support vector regression for…Ultimate recovery mixtures (2013)Ultimate recovery mixturesImprovements in loss given default forecasts for bank loans (2013)Improvements in loss given de…The Determinants of Recovery Rates in the US Corporate Bond Market (2012)The Determinants of Recovery …Modeling the Loss Distribution (2011)Modeling the Loss DistributionLoss 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…Forecasting bank loans loss-given-default (2010)Forecasting bank loans loss-g…Recovery rates, default probabilities, and the credit cycle (2009)Recovery rates, default proba…Modelling LGD for unsecured personal loans: decision tree approach (2009)Modelling LGD for unsecured p…Frailty Correlated Default (2009)Frailty Correlated DefaultThe Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans (2008)The Sensitivity of the Loss G…Loss given default of high loan-to-value residential mortgages (2008)Loss given default of high lo…Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries (2007)Does industry-wide distress a…Bank loan losses-given-default: A case study (2005)Bank loan losses-given-defaul…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Correlation in corporate defaults: Contagion or conditional independence? (2010)Pricing Credit Default Swaps with Observable Covariates (2013)The impact of loan loss provisioning on bank capital requirements (2018)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Common risk factors in the returns on stocks and bonds (1993)Econometric Analysis of Cross Section and Panel Data (2001)Bank Liquidity Creation (2009)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)Liquidation Values and Debt Capacity: A Market Equilibrium Approach (1992)A comparative analysis of current credit risk models (2000)Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks (2002)Credit Scoring and Its Applications (2002)Understanding Interaction Models: Improving Empirical Analyses (2005)A zero-adjusted gamma model for mortgage loan loss given default (2013)Credit Scoring and Its Applications (2017)Forecasting recovery rates on non-performing loans with machine learning (2020)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)Merton, Robert C. (2010)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Systemic Risk in Financial Networks: A Survey (2021)Measuring Corporate Bond Mortality and Performance (1989)Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics (2008)Important factors determining Fintech loan default: Evidence from a lendingclub consumer platform (2020)Foreclosing on Opportunity: State Laws and Mortgage Credit (2006)Theories of bank behavior under capital regulation (2007)Interaction between housing prices and household borrowing: The Finnish case (2008)Why ‘Basel II’ may need a leverage ratio restriction (2008)Mortgage timing (2009)Financing as a supply chain: The capital structure of banks and borrowers (2018)The Pricing of Options and Corporate Liabilities (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)Credit Contagion from Counterparty Risk (2009)Affine Point Processes and Portfolio Credit Risk (2010)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)The Empirical Analysis of Liquidity (2014)Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina? (2016)
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References

  • 2007Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries700 cited
  • 2009Frailty Correlated Default547 cited
  • 2009Recovery rates, default probabilities, and the credit cycle216 cited
  • 2008Loss given default of high loan-to-value residential mortgages193 cited
  • 2005Bank loan losses-given-default: A case study191 cited
  • 2010Forecasting bank loans loss-given-default171 cited
  • 2011Loss given default models incorporating macroeconomic variables for credit cards161 cited
  • 2012The Determinants of Recovery Rates in the US Corporate Bond Market160 cited
  • 2011Comparison of modeling methods for Loss Given Default151 cited
  • 2011Modeling the Loss Distribution140 cited
  • 2014Support vector regression for loss given default modelling105 cited
  • 2008The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans93 cited
  • 2017Enhancing two-stage modelling methodology for loss given default with support vector machines79 cited
  • 2013Ultimate recovery mixtures75 cited
  • 2013Improvements in loss given default forecasts for bank loans59 cited

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  • 2009Modelling LGD for unsecured personal loans: decision tree approach57 cited
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