Recovery Rates of Commercial Lending: Empirical Evidence for German Companies

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Forecasting bank loans loss-given-default (2010, background): “The geographic origins of empirical studies on bank loan recoveries include the U.S. (Asarnow and Edwards, 1995; Carty and Lieberman, 1996; Carty et al., 1998; Carty and Hamilton, 1999; Gupton et al., 2000; O’Shea et al., 2001; Araten et al., 2004; Gupton and Stein, 2005; Acharya et al., 2007), Euro”
Estimating bank loans loss given default by generalized additive models (2012, methodology): “…with the joint beta regression model (Calabrese, 2012), the Tobit model (Bellotti and Crook, 2012), the linear regression (Caselli et al., 2008, Grunert and Weber, 2009) and the decision tree model (Bellotti and Crook, 2012)1 on a comprehensive database of LGDs on Italian bank loans (Banca…”