Measuring LGD on Commercial Loans: An 18-Year Internal Study
By Michel Araten, Michael Jacobs, P. Varshney. 2004
130 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/4c85edf4c567fdff7ed7900e531f273d36c40e23
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- Raffaella Calabrese
- João A. Bastos
- Sergei Davydenko
- Michele Zenga
- Julian R. Franks
- P. Radaelli
- Luc Renneboog
- Francesca Greselin
Citations in the corpus
- Mitigating the pro-cyclicality of basel II (2010, unknown): “Araten et al. (2004) estimate LGDs in the interval between 39.8% and 50.5%, while Gupton (2000) estimates LGDs between 30.5% and 47.9%.”
- The determinants of bank loan recovery rates (2012, unknown): “2 At a descriptive level, several empirical studies on defaulted loans show that the recovery rates exhibit a bimodal distribution (Araten et al., 2004; Asarnow and Edwards, 1995; Schuermann, 2004).”
- Bank loan recovery rates: Measuring and nonparametric density estimation (2010, background): “On the contrary, the results about the variability are discordant: Araten et al. (2004) assert that LGDs on bank loans have greater variability”
- Do Bankruptcy Codes Matter? A Study of Defaults in France, Germany, and the U.K. (2008, background): “typically also find cross-industry differences to be insignificant, except for utility firms, which recover significantly more (Acharya, Bharath, and Srinivasan (2007), Araten et al. (2004), Gupton et al.”
- Estimating bank loans loss given default by generalized additive models (2012, background): “Hence, we obtain a bimodal distribution analogously to that found in Araten et al. (2004), Asarnow and Edwards (1995), Caselli et al. (2008), Friedman and Sandow (2003).”
- Recovery Rates of Commercial Lending: Empirical Evidence for German Companies (2009, unknown): “8 750 Araten et al. (2004) US bank 82-99 60.”
- Forecasting bank loans loss-given-default (2010, background): “Bimodal distributions of bank loan recoveries are also found in Asarnow and Edwards (1995), Felsovalyi and Hurt (1998), Franks et al. (2004), Araten et al. (2004) and Caselli et al. (2008).”