IDEAS home Printed from https://ideas.repec.org/a/eee/jbfina/v19y1995i6p959-985.html
   My bibliography  Save this article

Forecasting losses on a liquidating long-term loan portfolio

Author

Listed:
  • Smith, L. Douglas
  • Lawrence, Edward C.

Abstract

No abstract is available for this item.

Suggested Citation

  • Smith, L. Douglas & Lawrence, Edward C., 1995. "Forecasting losses on a liquidating long-term loan portfolio," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 959-985, September.
    • Handle: RePEc:eee:jbfina:v:19:y:1995:i:6:p:959-985
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0378-4266(94)00065-B
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Lane, Sylvia, 1972. "Submarginal Credit Risk Classification," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(1), pages 1379-1385, January.
    2. repec:bla:jfinan:v:44:y:1989:i:4:p:923-52 is not listed on IDEAS
    3. repec:bla:jfinan:v:44:y:1989:i:4:p:909-22 is not listed on IDEAS
    4. Lawrence, Edward C. & Smith, L. Douglas & Rhoades, Malcolm, 1992. "An analysis of default risk in mobile home credit," Journal of Banking & Finance, Elsevier, vol. 16(2), pages 299-312, April.
    5. Wood, Douglas & Piesse, Jennie, 1988. "The information value of failure predictions in credit assessment," Journal of Banking & Finance, Elsevier, vol. 12(2), pages 275-292, June.
    6. R. M. Cyert & H. J. Davidson & G. L. Thompson, 1962. "Estimation of the Allowance for Doubtful Accounts by Markov Chains," Management Science, INFORMS, vol. 8(3), pages 287-303, April.
    7. Terrence M. Clauretie, 1987. "The Impact of Interstate Foreclosure Cost Differences and the Value of Mortgages on Default Rates," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(3), pages 152-167, September.
    8. Altman, Edward I., 1980. "Commercial Bank Lending: Process, Credit Scoring, and Costs of Errors in Lending," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(4), pages 813-832, November.
    9. Harold Bierman, Jr. & Warren H. Hausman, 1970. "The Credit Granting Decision," Management Science, INFORMS, vol. 16(8), pages 519-532, April.
    10. Campbell, Tim S & Dietrich, J Kimball, 1983. "The Determinants of Default on Insured Conventional Residential Mortgage Loans," Journal of Finance, American Finance Association, vol. 38(5), pages 1569-1581, December.
    11. Dileep Mehta, 1968. "The Formulation of Credit Policy Models," Management Science, INFORMS, vol. 15(2), pages 30-50, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nikita Moiseev & Aleksander Sorokin & Natalya Zvezdina & Alexey Mikhaylov & Lyubov Khomyakova & Mir Sayed Shah Danish, 2021. "Credit Risk Theoretical Model on the Base of DCC-GARCH in Time-Varying Parameters Framework," Mathematics, MDPI, vol. 9(19), pages 1-12, September.
    2. Altman, Edward I. & Saunders, Anthony, 1997. "Credit risk measurement: Developments over the last 20 years," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1721-1742, December.
    3. Nijskens, Rob & Mokas, Dimitris, 2019. "Credit Risk in Commercial Real Estate Bank Loans : The Role of Idiosyncratic versus Macro-Economic Factors," Other publications TiSEM ea4f2f0e-dc50-4987-91d3-6, Tilburg University, School of Economics and Management.
    4. L. Smith & Baiqiang Jin, 2007. "Modeling exposure to losses on automobile leases," Review of Quantitative Finance and Accounting, Springer, vol. 29(3), pages 241-266, October.
    5. L. Douglas Smith & Canser Bilir & Vega W. Huang & Kuo-yao Hung & Mark Kaplan, 2005. "Citibank Models Credit Risk on Hybrid Mortgage Loans in Taiwan," Interfaces, INFORMS, vol. 35(3), pages 215-229, June.
    6. Arno Botha & Conrad Beyers & Pieter de Villiers, 2020. "The loss optimisation of loan recovery decision times using forecast cash flows," Papers 2010.05601, arXiv.org.
    7. Tang, Lingxiao & Cai, Fei & Ouyang, Yao, 2019. "Applying a nonparametric random forest algorithm to assess the credit risk of the energy industry in China," Technological Forecasting and Social Change, Elsevier, vol. 144(C), pages 563-572.
    8. Eriksson, Kent & Jonsson, Sara & Lindbergh, Jessica & Lindstrand, Angelika, 2014. "Modeling firm specific internationalization risk: An application to banks’ risk assessment in lending to firms that do international business," International Business Review, Elsevier, vol. 23(6), pages 1074-1085.
    9. He, Ping & Hua, Zhongsheng & Liu, Zhixin, 2015. "A quantification method for the collection effect on consumer term loans," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 17-26.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Zhixin Liu & Ping He & Bo Chen, 2019. "A Markov decision model for consumer term-loan collections," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 1043-1064, May.
    2. L. Douglas Smith & Canser Bilir & Vega W. Huang & Kuo-yao Hung & Mark Kaplan, 2005. "Citibank Models Credit Risk on Hybrid Mortgage Loans in Taiwan," Interfaces, INFORMS, vol. 35(3), pages 215-229, June.
    3. Thomas, Lyn C., 2000. "A survey of credit and behavioural scoring: forecasting financial risk of lending to consumers," International Journal of Forecasting, Elsevier, vol. 16(2), pages 149-172.
    4. Seifert, Daniel & Seifert, Ralf W. & Protopappa-Sieke, Margarita, 2013. "A review of trade credit literature: Opportunities for research in operations," European Journal of Operational Research, Elsevier, vol. 231(2), pages 245-256.
    5. L. Smith & Baiqiang Jin, 2007. "Modeling exposure to losses on automobile leases," Review of Quantitative Finance and Accounting, Springer, vol. 29(3), pages 241-266, October.
    6. Kroot, Jan & Giouvris, Evangelos, 2016. "Dutch mortgages: Impact of the crisis on probability of default," Finance Research Letters, Elsevier, vol. 18(C), pages 205-217.
    7. Ha-Thu Nguyen, 2014. "Default Predictors in Credit Scoring - Evidence from France’s Retail Banking Institution," EconomiX Working Papers 2014-26, University of Paris Nanterre, EconomiX.
    8. David Harrison & Michael Seiler, 2015. "The Paradox of Judicial Foreclosure: Collateral Value Uncertainty and Mortgage Rates," The Journal of Real Estate Finance and Economics, Springer, vol. 50(3), pages 377-411, April.
    9. Ha Thu Nguyen, 2014. "Default Predictors in Credit Scoring - Evidence from France’s Retail Banking Institution," Working Papers hal-04141336, HAL.
    10. Thomas M. Springer & Neil G. Waller, 1993. "Lender Forbearance: Evidence from Mortgage Delinquency Patterns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(1), pages 27-46, March.
    11. Rais Ahmad Itoo & Selvarasu Appasamy Mutharasu & José António Filipe, 2013. "Effect of Loan Value and Collateral on Value of Mortgage Default," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 3(4), pages 635-635.
    12. Jonathan K. Budd & Peter G. Taylor, 2015. "Calculating optimal limits for transacting credit card customers," Papers 1506.05376, arXiv.org, revised Aug 2015.
    13. Weida Kuang & Chunlin Liu & Qun Wu & Hongchao Zeng, 2021. "How do Interest Rate Changes Affect Mortgage Curtailments? Evidence from China," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(S2), pages 395-427, September.
    14. Anil Kumar, 2018. "Do Restrictions on Home Equity Extraction Contribute to Lower Mortgage Defaults? Evidence from a Policy Discontinuity at the Texas Border," American Economic Journal: Economic Policy, American Economic Association, vol. 10(1), pages 268-297, February.
    15. Schechtman, Ricardo, 2013. "Default matrices: A complete measurement of banks’ consumer credit delinquency," Journal of Financial Stability, Elsevier, vol. 9(4), pages 460-474.
    16. Asish Saha & Hock-Eam Lim & Goh-Yeok Siew, 2021. "Housing Loan Repayment Behaviour in Malaysia: An Analytical Insight," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 20(2), pages 1-19, September.
    17. Mitroussi, K. & Abouarghoub, W. & Haider, J.J. & Pettit, S.J. & Tigka, N., 2016. "Performance drivers of shipping loans: An empirical investigation," International Journal of Production Economics, Elsevier, vol. 171(P3), pages 438-452.
    18. Roy Cerqueti & Francesca Pampurini & Annagiulia Pezzola & Anna Grazia Quaranta, 2022. "Dangerous liasons and hot customers for banks," Review of Quantitative Finance and Accounting, Springer, vol. 59(1), pages 65-89, July.
    19. Kelly D. Edmiston & Roger Zalneraitis, 2007. "Rising foreclosures in the United States: a perfect storm," Economic Review, Federal Reserve Bank of Kansas City, vol. 92(Q IV), pages 115-145.
    20. Moon, Byunggeor, 2018. "Housing investment, default risk, and expectations: Focusing on the chonsei market in Korea," Regional Science and Urban Economics, Elsevier, vol. 71(C), pages 80-90.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:19:y:1995:i:6:p:959-985. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jbf .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.