Post by Sapphire Capital on Aug 16, 2008 22:51:38 GMT 4
Estimating Recovery Rates on Bank's
Historical Loan Loss Data
Arindam Bandyopadhyay
National Institute of Bank Management (NIBM)
June 26, 2008
Abstract:
The main objective of this paper is to estimate a statistical model that incorporates information at different levels: collateral, facility, industry, zone and the macro economy to predict the Recovery Rates which will enable the bank to arrive at the Loss Given Default figure that would help to better price and manage credit risk. This estimated LGD can also play a critical role in meeting the Basel II requirements on advanced Internal Rating Based Approach (AIRB).
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1151688_code1056557.pdf?abstractid=1151688&mirid=3
Historical Loan Loss Data
Arindam Bandyopadhyay
National Institute of Bank Management (NIBM)
June 26, 2008
Abstract:
The main objective of this paper is to estimate a statistical model that incorporates information at different levels: collateral, facility, industry, zone and the macro economy to predict the Recovery Rates which will enable the bank to arrive at the Loss Given Default figure that would help to better price and manage credit risk. This estimated LGD can also play a critical role in meeting the Basel II requirements on advanced Internal Rating Based Approach (AIRB).
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1151688_code1056557.pdf?abstractid=1151688&mirid=3