Bank loan losses-given-default: A case study
Tài liệu tham khảo
Acharya, 2003, Understanding the recovery rates on defaulted securities, Mimeo, 1
Acharya, V., Hasan, I., Saunders, A., in press. The effects of focus and diversification on bank risk and return: Evidence from individual loan portfolios. Journal of Business.
Allen, L., Saunders, A., 2003. A Survey of Cyclical Effects in Credit Risk Measurement Models. BIS Working Papers 126, 1–32.
Allen, 2004, Issues in the credit risk modeling of retail markets, Journal of Banking and Finance, 28, 727, 10.1016/j.jbankfin.2003.10.004
Altman, 1989, Measuring corporate bond mortality and performance, Journal of Finance, 44, 909, 10.2307/2328616
Altman, E., Brady, B., Resti, A., Sironi, A., in press. The link between default and recovery rates: Theory, empirical evidence and implications. Journal of Business.
Altman, 2000, Default rates in the syndicated bank loan market: A mortality analysis, Journal of Banking and Finance, 24, 229, 10.1016/S0378-4266(99)00058-8
Asarnow, 1995, Measuring loss on defaulted bank loans: A 24-year study, Journal of Commercial Lending, 77, 11
Basel Committee on Banking Supervision, 2004. International Convergence of Capital Measurement and Capital Standards. Basel.
Caouette, 1998
Carey, 1998, Credit risk in private debt portfolios, Journal of Finance, LIII, August, 1363, 10.1111/0022-1082.00056
Carty, 1996, Defaulted Bank Loan Recoveries, Moody’s Investors Service, November
Credit Metrics, 1997. Technical Document. JP Morgan.
Credit Suisse Financial Products, 1997. CreditRisk+, A Credit Risk Management Framework, Technical Document.
Crouhy, 2000, A comparative analysis of current credit risk models, Journal of Banking and Finance, 24, 59, 10.1016/S0378-4266(99)00053-9
Dahl, 2002, Granularity and international diversification: An empirical analysis of overdue claims at banks, Mimeo, 1
Dewenter, 2004, Are relationship and transactional bank different? Evidence from loan loss provisions and write-offs, Mimeo, 1
Duffie, 2003, Credit Risk, Princeton Series in Finance
Frye, 2000, Collateral damage, Risk, April, 91
Frye, 2000, Depressing recoveries, Risk, November, 108
Frye, 2003, A false sense of Security, Risk, August, 63
Gourieroux, 1984, Pseudo-maximum likelihood methods: Theory, Econometrica, 52, 681, 10.2307/1913471
Greene, 1993
Grossman, 1998, Syndicated bank loan recovery, CreditMetrics Monitor, First Quarter, 29
Hurt, 1998, Measuring loss on latin american defaulted bank loans, a 27-year study of 27 countries, Journal of Lending and Credit Risk Management, 80, 41
Jimenez, 2002, Loan characteristics and credit risk, Bank of Spain, 1
Jimenez, 2003, Collateral, type of lender and relationship bank as determinants of credit risk, Journal of Banking and Finance, 27, 1
La Porta, 2003, Related lending, Quarterly Journal of Economics, February, 231, 10.1162/00335530360535199
McCullagh, 1989
Nickell, P., Perraudin, W., Varotto, S., 2000. Stability of Rating Transitions. In: Special Issue on Credit Risk Modelling and Regulatory Issues. Journal of Banking and Finance, 24 (1/2), 203–228.
Papke, 1996, Econometric methods for fractional response variables with an application to 401 (K) plan participation rates, Journal of Applied Econometrics, 11, 619, 10.1002/(SICI)1099-1255(199611)11:6<619::AID-JAE418>3.0.CO;2-1
Salas, 2002, Credit risk in two institutional regimes: Spanish commercial and savings banks, Journal of Financial Services Research, 22, 203, 10.1023/A:1019781109676
Schuermann, 2004, What do we know about loss given default
Shleifer, 1992, Liquidation values and debt capacity: A market equilibrium approach, Journal of Finance, XLVII, 1343, 10.2307/2328943
White, 1996, Bankruptcy resolution: Direct costs and violation of priority claims