Have a personal or library account? Click to login

Modeling of Cash Flows from Nonperforming Loans in a Commercial Bank

Open Access
|Dec 2018

References

  1. BIS (2008). Principles for sound liquidity risk management and supervision. Basel: Bank for international settlements. Retrieved on 10th December 2013 from: http://www.bis.org/publ/bcbs144.pdf
  2. Black F., Cox J. C. (1976). Valuing corporate securities: Some effects of bond indenture provisions. Journal of Finance, 31(2), 351–367. https://doi.org/10.1111/j.1540-6261.1976.tb01891.x10.1111/j.1540-6261.1976.tb01891.x
  3. Bruche M., Gonzales-Aguado C. (2010). Recovery rates, default probabilities, and the credit cycle. Journal of banking and finance, 34(4), 754–764. https://doi.org/10.1016/j.jbankfin.2009.04.00910.1016/j.jbankfin.2009.04.009
  4. Campbell John Y., Lo Andrew W., MacKinlay Craig A. (1997). The econometrics of financial markets. Princeton: Princeton University Press.10.1515/9781400830213
  5. Carey, M. (1998). Credit Risk in Private Debt Portfolios. Journal of Finance, 53(4), 1363-1387. https://doi.org/10.1111/0022-1082.0005610.1111/0022-1082.00056
  6. Carey M., Gordy M. B. (2007). The bank as grim reaper: debt composition and recoveries on defaulted debt. In Proceedings 1056. Chicago: Federal Reserve Bank of Chicago.10.2139/ssrn.972484
  7. Deshpande A., Iyer S. K. (2009). The credit risk+ model with general sector correlations. Central European Journal of Operations Research, 17(2), 219-228. https://doi.org/10.1007/s10100-009-0084-410.1007/s10100-009-0084-4
  8. Ernst&Young (2011). European non-performing loan report 2011. Restructuring follows strategy – a review of the European loan portfolio market. Eschborn: Ernst&Young.
  9. Guo X., Jarrow R., Zeng Y. (2009). Modeling the recovery rate in a reduced form model. Mathematical Finance, 19(1), 73-97. https://doi.org/10.1111/j.1467-9965.2008.00358.x10.1111/j.1467-9965.2008.00358.x
  10. Khieu H. D., Mullineaux D. J., Yi H. C. (2012). The determinants of bank loan recovery rates. Journal of Banking and Finance, 36(4), 923–933. https://doi.org/10.1016/j.jbankfin.2011.10.00510.1016/j.jbankfin.2011.10.005
  11. Levy H., Sarnat M. (1977). A pedagogic note on alternative formulations of the goal of the firm. Journal of business, 50(4), 526-528. https://doi.org/10.1086/29597110.1086/295971
  12. Moody’s (2013). Annual Default Study: Corporate Default and Recovery Rates, 1920-2012. Retrieved on 5th January 2014 from: http://www.moodys.com/research/Annual-Default-Study-Corporate-Default-and-Recovery-Rates-1920-2012--PBC_151031.
  13. The European Parliament (2013). Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1). Brussels: Official Journal of the European Union, L 176, 1-337.
  14. Sohaimi, A. N. A. (2013). Liquidity risk and performance of banking system in Malaysia. Working paper. Mara University of Technology, Malaysia. https://doi.org/10.2139/ssrn.227142710.2139/ssrn.2271427
  15. Trück S., Harpaintner S., Rachev S. T. (2005). A note on forecasting aggregate recovery rates with macroeconomic variables. Retrieved on 5th January 2014 from: http://www.pstat.ucsb.edu/research/papers/recovery.pdf
DOI: https://doi.org/10.2478/ngoe-2018-0018 | Journal eISSN: 2385-8052 | Journal ISSN: 0547-3101
Language: English
Page range: 3 - 9
Submitted on: Oct 1, 2018
Accepted on: Nov 1, 2018
Published on: Dec 31, 2018
Published by: University of Maribor, Faculty of Organizational Science
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year

© 2018 Srečko Devjak, published by University of Maribor, Faculty of Organizational Science
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.