کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7408806 | 1481454 | 2012 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Predicting loss given default (LGD) for residential mortgage loans: A two-stage model and empirical evidence for UK bank data
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Predicting loss given default (LGD) for residential mortgage loans: A two-stage model and empirical evidence for UK bank data Predicting loss given default (LGD) for residential mortgage loans: A two-stage model and empirical evidence for UK bank data](/preview/png/7408806.png)
چکیده انگلیسی
With the implementation of the Basel II regulatory framework, it became increasingly important for financial institutions to develop accurate loss models. This work investigates the loss given default (LGD) of mortgage loans using a large set of recovery data of residential mortgage defaults from a major UK bank. A Probability of Repossession Model and a Haircut Model are developed and then combined to give an expected loss percentage. We find that the Probability of Repossession Model should consist of more than just the commonly used loan-to-value ratio, and that the estimation of LGD benefits from the Haircut Model, which predicts the discount which the sale price of a repossessed property may undergo. This two-stage LGD model is shown to perform better than a single-stage LGD model (which models LGD directly from loan and collateral characteristics), as it achieves a better R2 value and matches the distribution of the observed LGD more accurately.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 28, Issue 1, JanuaryâMarch 2012, Pages 183-195
Journal: International Journal of Forecasting - Volume 28, Issue 1, JanuaryâMarch 2012, Pages 183-195
نویسندگان
Mindy Leow, Christophe Mues,