Arbeitspapier
The time dimension of the links between loss given default and the macroeconomy
Most studies focusing on the determinants of loss given default (LGD) have largely ignored possible lagged effects of the macroeconomy on LGD. We fill this gap by employing a wide set of macroeconomic covariates on a retail portfolio that represents 15% of the Czech consumer credit market over the period 2002-2012. We find an important time dimension to the links between LGD and the aggregate economy in the Czech Republic. The model that allows exclusively for contemporaneous effects includes a number of significant macroeconomic variables, some of which have non-intuitive signs. Nonetheless, a more general time structure of the LGD model makes current macroeconomic variables largely irrelevant and highlights the importance of delayed responses of LGD to the macroeconomic environment.
- ISBN
-
978-92-899-2759-8
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2037
- Klassifikation
-
Wirtschaft
Mathematical Methods
Contingent Pricing; Futures Pricing; option pricing
Bankruptcy; Liquidation
- Thema
-
credit losses
loss given default
recovery rates
workout LGD
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Konečný, Tomáš
Seidler, Jakub
Belyaeva, Aelita
Belyaev, Konstantin
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2017
- DOI
-
doi:10.2866/52109
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Konečný, Tomáš
- Seidler, Jakub
- Belyaeva, Aelita
- Belyaev, Konstantin
- European Central Bank (ECB)
Entstanden
- 2017
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