Non-Performing Loans for Italian Companies: When Time Matters. An Empirical Research on Estimating Probability to Default and Loss Given Default

Estimating bank loans loss given default by generalized additive models

Forecasting bank loans loss-given-default

With the advent of the new Basel Capital Accord, banking organizations are invited to estimate credit risk capital requirements using an internal ratings based approach. In order to be compliant with this approach, institutions must estimate the expected loss-given-default, the fraction of the credit exposure that is lost if the borrower defaults. This study evaluates the ability of a parametri...

Estimating Conservative Loss given Default

The new Basel Capital Accord (Basel II) is going to be embedded in the risk management practices at many financial institutions shortly, but the academic and financial world are still discussing about several topics related to the new capital adequacy rules. One of the most important and prominent examples among these topics is the link between loss given default (LGD) and the economic cycle. I...

Modeling and estimating dependent loss given default

We propose a portfolio credit risk model with dependent loss given default (LGD) which allows for a reasonable economic interpretation and can easily be applied to real data. We build up a precise mathematical framework and stress some general important issues when modeling dependent LGD. Finally, we calibrate the model based on American bond data from 1982 to 2001 and compare the results with ...

An Explicit Model of Default Time with given Survival Probability∗

For a given filtered probability space (Ω,F,P), where F = (Ft)t≥0 is a filtration, an F-adapted continuous increasing process Λ and a positive P-F local martingale N such that Zt := Nte−Λt ≤ 1, t ≥ 0, we construct a model of default time, i.e., a probability measure QZ and a random time τ on an extension of (Ω,F,P), such that Q[τ > t|Ft] = Zt, t ≥ 0. The probability QZ is linked with the well-k...