Loan level loss given default (LGD) study of Indian banks

IF 1.7 Q3 MANAGEMENT

IIMB Management Review Pub Date : 2022-06-01 DOI:10.1016/j.iimb.2022.06.003

Arindam Bandyopadhyay

引用次数: 0

Abstract

Loss given default (LGD) is a critical element in estimating expected as well as unexpected credit losses in banking business. This article investigates written-off history of Indian banks and provides estimates of LGD on loans across sectors, loan facilities and collateral type. The study is based on internal loss data obtained from various scheduled commercial banks in India over twenty years. A multifactor tobit regression model has also been developed to capture the key determinants affecting LGD that will be helpful to predict future losses of Indian banks. LGD trends over various time periods have also been assessed to establish their linkage with probability of default.

查看原文本刊更多论文

印度银行贷款水平损失违约(LGD)研究

违约损失(LGD)是估算银行业务中预期和意外信贷损失的关键因素。本文调查了印度银行的注销历史，并提供了跨部门贷款、贷款工具和抵押品类型的LGD估计。该研究是基于20多年来印度各种定期商业银行的内部损失数据。还开发了一个多因素tobit回归模型，以捕捉影响LGD的关键决定因素，这将有助于预测印度银行未来的损失。还评估了不同时期的LGD趋势，以确定其与违约概率的联系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

IIMB Management Review MANAGEMENT-

CiteScore

3.20

自引率

5.90%

发文量

审稿时长

68 days

期刊介绍： IIMB Management Review (IMR) is a quarterly journal brought out by the Indian Institute of Management Bangalore. Addressed to management practitioners, researchers and academics, IMR aims to engage rigorously with practices, concepts and ideas in the field of management, with an emphasis on providing managerial insights, in a reader friendly format. To this end IMR invites manuscripts that provide novel managerial insights in any of the core business functions. The manuscript should be rigorous, that is, the findings should be supported by either empirical data or a well-justified theoretical model, and well written. While these two requirements are necessary for acceptance, they do not guarantee acceptance. The sole criterion for publication is contribution to the extant management literature.Although all manuscripts are welcome, our special emphasis is on papers that focus on emerging economies throughout the world. Such papers may either improve our understanding of markets in such economies through novel analyses or build models by taking into account the special characteristics of such economies to provide guidance to managers.