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

By Esa Jokivuolle, Samu Peura. 2003

121 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0bd30a5d6cf02ff9c2e2c4ece6e0cb9872450c0c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Edward I. Altman
2. Brooks Brady
3. V. Acharya
4. Hui Chi Chen
5. Francesco Ciampi
6. Hadiye Aslan
7. Rafael Repullo
8. John C. Hull

Citations in the corpus

• A Survey of Cyclical Effects in Credit Risk Measurement Models (2002, unknown): “Thus, the recovery rates of low credit quality firms tend to be higher than recovery rates in high credit quality firms in the Jokivuolle and Peura (2000) simulations.”
• The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications (2003, background): “These include Frye (2000a, 2000b), Jokivuolle and Peura (2003), and Jarrow (2001).”
• Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence (2004, unknown): “A rather different approach is the one proposed by Jokivuolle and Peura (2003).”