Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loan-to-value Ratios

We present a model of risky debt in which collateral value is correlated with the possibility of default. The model is then used to study the expected loss given default, primarily as a function of collateral. The results obtained could prove useful for estimating losses given default in many popula...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	European financial management : the journal of the European Financial Management Association 2003-09, Vol.9 (3), p.299-314
Hauptverfasser:	Jokivuolle, Esa, Peura, Samu
Format:	Artikel
Sprache:	eng
Schlagworte:	Basel II collateral Credit credit risk Economic agreements Finance G13 G21 loan-to-value Loans Loss loss given default Regulation Risk Value
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!