Estimating Recovery Rates on Bank’s Historical Loan Loss Data
Arindam Bandyopadhyay () and
Pratima Singh
MPRA Paper from University Library of Munich, Germany
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).
Keywords: Loss Estimation; Credit Risk; Modeling; Bank (search for similar items in EconPapers)
JEL-codes: C5 G21 G32 (search for similar items in EconPapers)
Date: 2007-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/9525/1/MPRA_paper_9525.pdf original version (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:9525
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().