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Document type:
Masterarbeit
Author(s):
Panagiotopoulou, Konstantina
Title:
Modeling and forecasting downturn LGD
Abstract:
This thesis aims to examine the dependence of bank loan recovery rates on various factors, on the entity level. Especially after the last financial crisis, the modeling of recovery rates is considered to be a vital topic for banks. Having a good model, the banks are able to predict, already on the default date, the value of the recovery rate at the end of the resolution time. This study is based on the largest bank loan credit default dataset, provided by Global Credit Data. With a main focus on...     »
Supervisor:
Prof. Dr. Rudi Zagst
Advisor:
PD Dr. Aleksey Min
Year:
2018
University:
Technische Universität München
Commencing Date:
07.11.2018
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