Recovery risk : the next challenge in credit risk management
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Bibliographic Information
Recovery risk : the next challenge in credit risk management
Risk Books, c2005
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Note
Includes bibliographical references and index
Description and Table of Contents
Description
Provides a reference to loss given default (LGD) measurement and management, and the requirements of the Base II Capital Accord. Some of the topics covered in this book include: using multivariate models for the estimation of LGD; exploring the links between LGD and default risk; and, providing a Basel II compliant framework for LGD estimation.
Table of Contents
- Introduction Edward I. Altman
- Andrea Resti, Andrea Sironi NYU Salomon Center and NYU Stern School of Business
- Bocconi University PART I: DEFINING AND MEASURING RECOVERY RISK 1 What Do We Know About Loss Given Default? Til Schuermann Federal Reserve Bank of New York and Wharton Financial Institutions Center 2 Defining LGD: The Basel II Perspective Andrea Resti, Andrea Sironi Bocconi University 3 Loss Given Default: A Review of the Literature Edward I. Altman
- Andrea Resti, Andrea Sironi NYU Salomon Center and NYU Stern School of Business
- Bocconi University 4 Estimating Recovery Risk by Means of a Quantitative Model: LossCalc Greg M. Gupton Moody's KMV 5 Recovery Ratings: A Fundamental Approach to Estimating Recovery Risk William H. Chew, Steven S. Kerr Standard and Poor's PART II: MEASURING LGD ON SPECIFIC PORTFOLIOS 6 How to Measure Recoveries and Provisions on Bank Lending: Methodology and Empirical Evidence Jean Dermine
- Cristina Neto de Carvalho INSEAD
- Universidade Catolica Portuguesa 7 Recovery Rates in the Banking Industry: Stylised Facts Emerging from the Italian Experience Pierpaolo Grippa, Simonetta Iannotti
- Fabrizio Leandri Bank of Italy
- Monte dei Paschi di Siena 8 Estimating LGD in the Leasing Industry: Empirical Evidence from a Multivariate Model Giacomo De Laurentis
- Marco Riani Bocconi University
- Universita degli Studi di Parma 9 Recovery Rates from Distressed Management Buy-Outs David Citron
- Mike Wright Cass Business School
- Nottingham University Business School PART III: THE PD/LGD CORRELATION 10 The Effects of Systematic Credit Risk: a False Sense of Security Jon Frye Federal Reserve Bank of Chicago 11 LGD in a Structural Model of Default Samu Peura
- Esa Jokivuolle Sampo plc
- Bank of Finland 12 The PD/LGD Link: Empirical Evidence from the Bond Market Edward I. Altman
- Brooks Brady
- Andrea Resti, Andrea Sironi NYU Salomon Center and NYU Stern School of Business
- Standard and Poor's
- Bocconi University 13 Systematic Risk in Recovery Rates of US Corporate Credit Exposures Klaus Dullmann
- Monika Trapp Duetsche Bundesbank
- University of Mannheim 14 The PD/LGD Link: Implications for Credit Risk Modelling Edward I. Altman
- Andrea Resti, Andrea Sironi NYU Salomon Center and NYU Stern School of Business
- Bocconi University 15 Credit Risk Assessment and Stochastic LGD: An Investigation of Correlation Effects Ali Chabaane
- Jean-Paul Laurent
- Julien Salomon ACA Consulting and BNP Paribas
- ISFAActuarial School, University of Lyon and BNP Paribas
- BNP Paribas PART IV: ADVANCED METHODOLOGIES 16 Choosing the Discount Factor for Estimating Economic LGD Iain Maclachlan Australia and New Zealand Banking Group Ltd 17 Estimating "Distressed" LGD on Defaulted Exposures: A Portfolio Model Applied to Leasing Contracts Marie-Paule Laurent, Mathias Schmit Universite Libre de Bruxelles, Solvay Business School 18 Estimation of Recovery Rate Densities: Non-parametric and Semi-parametric Approaches versus Industry Practice Matthias Hagmann
- Olivier Renault
- Olivier Scaillet HEC Lausanne and FAME
- CitiGroup Global Markets Ltd
- HEC Geneve and FAME 19 Estimating Conditional Probability Distributions of Recovery Rates: A Utility-Based Approach Craig Friedman
- Sven Sandow Standard and Poor's
- NYU Courant Institute of Mathematical Sciences
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