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- Title
Modeling Bank Loan LGD of Corporate and SME Segments: A Case Study.
- Authors
Chalupka, Radovan; Kopecsni, Juraj
- Abstract
Loss given default (LGD) is one of key parameters to estimate credit risk in an internal rating based approach considered in The New Basel Capital Accord. The aim of this paper is to find determinants of LGD using a set of firm loan micro-data of an anonymous Czech commercial bank. We find that LGD is driven primarily by the period of loan origination, relative value of collateral, loan size and length of business relationship. Different models employed in our analysis provide similar results; in more complex models, log-log models appear to perform better, implying an asymmetric response of the dependent variable.
- Subjects
CREDIT risk; BANK loans; LOAN originations; INTERNATIONAL banking industry; BASLE Accord (1988); VENTURE capital; CAPITAL requirements; INTERNAL rate of return; MAXIMUM likelihood statistics
- Publication
Finance a Uver: Czech Journal of Economics & Finance, 2009, Vol 59, Issue 4, p360
- ISSN
0015-1920
- Publication type
Article