haku: @indexterm leasing / yhteensä: 316
viite: 4 / 316
| Tekijä: | Pirotte, H. Vaessen C. |
| Otsikko: | Residual value risk in the leasing industry: A European case |
| Lehti: | European Journal of Finance
2008 : JAN/FEB, VOL. 14:1-2, p. 157-177 |
| Asiasana: | Europe industries leasing value-at-risk |
| Vapaa asiasana: | residual value risk |
| Kieli: | eng |
| Tiivistelmä: | This paper is dedicated to recovery and residual value risks' modelling issues of automotive (here as: a-m.) lease (as: a-m-l.) portfolios. Probability density function of losses and Value-at-risk measures are estimated based on a private database comprising a unique set of over 4,800 individual a-m-l. contracts from 1990 to 2001 through a major European financial institution. It is discussed on the capital requirements related to residual value risk stemming from the Basel II Accord. It is concluded that a wider recognition of physical collateral in capital adequacy regulations should allow for better reflecting the relatively low-risk profile of a-m-l. exposures. |
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