Miller, Patrick and Toews, Eugen (2018). Loss given default adjusted workout processes for leases. J. Bank Financ., 91. S. 189 - 202. AMSTERDAM: ELSEVIER. ISSN 1872-6372

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Abstract

Employing defaulted leases, this study divides the loss given default (LCD) into two parts. So far, LGD has been regarded as a holistic measure of risk. However, considering the specifics of leases, we distinguish between asset-related and miscellaneous revenues of the workout process in order to calculate component LGDs. We introduce a multi-step approach to estimate the overall LGD of leases, based on its economic composition, The performance is assessed out-of-sample and out-of-time. We find that our approach generates stable and accurate estimations. Moreover, using the estimated component LGDs, we obtain valuable information regarding the debt collection procedure that lead to monetary advantages for the lessor. (C) 2017 Elsevier B.V. All rights reserved.

Item Type: Journal Article
Creators:
CreatorsEmailORCIDORCID Put Code
Miller, PatrickUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Toews, EugenUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
URN: urn:nbn:de:hbz:38-184829
DOI: 10.1016/j.jbankfin.2017.01.020
Journal or Publication Title: J. Bank Financ.
Volume: 91
Page Range: S. 189 - 202
Date: 2018
Publisher: ELSEVIER
Place of Publication: AMSTERDAM
ISSN: 1872-6372
Language: English
Faculty: Unspecified
Divisions: Unspecified
Subjects: no entry
Uncontrolled Keywords:
KeywordsLanguage
RECOVERY RATES; REGRESSION; CORPORATE; LOANS; LGDMultiple languages
Business, Finance; EconomicsMultiple languages
Refereed: Yes
URI: http://kups.ub.uni-koeln.de/id/eprint/18482

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