Modeling loss given default with stochastic collateral
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DOI: 10.1016/j.econmod.2014.10.006
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- Rafal M. Wojakowski & M. Shahid Ebrahim & Aziz Jaafar & Murizah Osman Salleh, 2019. "Can Loan Valuation Adjustment (LVA) approach immunize collateralized debt from defaults?," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 28(2), pages 141-158, May.
- Lionel Sopgoui, 2024. "Impact of Climate transition on Credit portfolio's loss with stochastic collateral," Papers 2408.13266, arXiv.org.
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- Sha, Yezhou, 2022. "Rating manipulation and creditworthiness for platform economy: Evidence from peer-to-peer lending," International Review of Financial Analysis, Elsevier, vol. 84(C).
- Yuta Tanoue & Satoshi Yamashita & Hideaki Nagahata, 2020. "Comparison study of two-step LGD estimation model with probability machines," Risk Management, Palgrave Macmillan, vol. 22(3), pages 155-177, September.
- Xia, Yufei & Zhao, Junhao & He, Lingyun & Li, Yinguo & Yang, Xiaoli, 2021. "Forecasting loss given default for peer-to-peer loans via heterogeneous stacking ensemble approach," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1590-1613.
- Barbagli, Matteo & Vrins, Frédéric, 2023.
"Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework,"
Economic Modelling, Elsevier, vol. 125(C).
- Barbagli, Matteo & Vrins, Frédéric, 2023. "Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework," LIDAM Reprints LFIN 2023009, Université catholique de Louvain, Louvain Finance (LFIN).
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- Guangyou Zhou & Yijia Zhang & Sumei Luo, 2018. "P2P Network Lending, Loss Given Default and Credit Risks," Sustainability, MDPI, vol. 10(4), pages 1-15, March.
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Keywords
Loss given default; Recovery rates; Mortgage-backed loans; Exponential Ornstein–Uhlenbeck process; Housing market model; Closed-form solution;All these keywords.
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