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| Tekijä: | Jokivuolle, E. Peura, S. |
| Otsikko: | Incorporating collateral value uncertainty in loss given default estimates and loan-to-value ratios |
| Lehti: | European Financial Management
2003 : SEP, VOL. 9:3, p. 299-314 |
| Asiasana: | Credit Defaults Loss Risk |
| Kieli: | eng |
| Tiivistelmä: | A model of risky debt in which collateral value is correlated with the possibility of default is presented in this paper. The model is then used to study the expected loss given default, primarily as a function of collateral. The results obtained could prove useful for estimating losses given default in many popular models of credit risk which assume them constant. Also the problem of determining sufficient collateral is examined to secure a loan to a desired extent. |
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