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Recovery Rates in Consumer Lending: Empirical Evidence and the Model Comparison

Samuel Prívara et al.

Bulletin of the Czech Econometric Society2014article
ABDC C
Weight
0.36

What the paper says

The bank regulation embodied in the Basel II Accord has opened-up a new era in estimating recovery rates or complementary loss given default in the retail lending credit evaluation process. In this paper we investigate the properties of survival analysis models applied to recovery rates in order to predict loss given default for retail lending. We compare the results to standard techniques such as linear and logistic regressions and discuss the pros and cons of the respective methods. The study is performed on a real dataset of a major Czech bank.

1 citation

Cite this paper

@article{samuel2014,
  title        = {{Recovery Rates in Consumer Lending: Empirical Evidence and the Model Comparison}},
  author       = {Samuel Prívara et al.},
  journal      = {Bulletin of the Czech Econometric Society},
  year         = {2014},
}

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Recovery Rates in Consumer Lending: Empirical Evidence and the Model Comparison

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Evidence weight

0.36

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.25 × 0.4 = 0.10
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.