دانلود رایگان مقاله لاتین اتلاف خودکار وام بانکی از سایت الزویر
عنوان فارسی مقاله:
پیش بینی اتلاف خودکار با توجه به وام های بانکی با استفاده از مدل چند مرحله
عنوان انگلیسی مقاله:
Forecasting loss given default of bank loans with multi-stage model
سال انتشار : 2017
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بخشی از مقاله انگلیسی:
4. Data
The dataset used in this study consists of loan data from three Japanese banks (Bank A, Bank B, and Bank C) for the period from 2004 to 2011. Banks A, B, and C are located in western Japan, eastern Japan, and western Japan, respectively, meaning that our dataset is not regionspecific. The observation frequency is once every six months. Our dataset consists of 679,607 records of 81,931 borrowers, with 8,732 default records, and contains the following fields: (1) Exposure (total loan amount of each borrower). (2) Bank’s internal borrower rating (rating of each borrower). (3) Write-off amount (amount written-off from an account). (4) Creditworthiness score (a variable that is synthesized exogenously based on the borrower’s financial information, and used for estimating the probability of default). (5) Collateral quota (the quota for each type of collateral, namely real estate, commercial bills, deposits, and marketable securities). (6) Credit guarantee quota (the quota of credit guarantee from the National Federation of Credit Guarantee Corporation1 ).
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کلمات کلیدی:
Forecasting Bank Loans Loss-given-default - DefaultRisk.com www.defaultrisk.com/pp_recov_89.htm Forecasting Bank Loans Loss-given-default. by João A. Bastos of the Technical University of Lisbon. September 2009. Abstract: With the advent of the new Basel ... [PDF]Improvements in Loss Given Default Forecasts for Bank Loans www.fiwi.tu-bs.de/fileadmin/files/forschung/working_papers/IF35.pdf An accurate forecast of the parameter loss given default (LGD) of loans plays a ... Keywords: Bank loans, Credit risk, Forecasting, Loss given default, Workout ... Forecasting bank loans loss-given-default - ResearchGate https://www.researchgate.net/.../227418061_Forecasting_bank_loans_loss-given-default References, authors & citations for 'Forecasting bank loans loss-given-default' on ResearchGate. Forecasting Loss Given Default models: impact of account ... link.springer.com/10.1057/jors.2013.158 by E Tobback - 2014 - Cited by 16 - Related articles Forecasting Loss Given Default models: impact of account characteristics and the ... macroeconomic scenarios on their Profit and Loss (P&L) and banking book, ... [PDF]Estimating bank loans loss given default by generalized additive models www.ucd.ie/geary/static/publications/workingpapers/gearywp201224.pdf by R Calabrese - 2012 - Cited by 4 - Related articles Oct 24, 2012 - this paper is to propose a new model to estimate Loss Given Default ... In this paper we focus on modelling and forecasting LGD for Italian bank ... Improvements in Loss Given Default Forecasts for Bank Loans by ... https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1757714 by M Gürtler - 2011 - Cited by 28 - Related articles Feb 10, 2011 - An accurate forecast of the parameter loss given default (LGD) of loans plays a crucial role for risk-based decision making by banks.
