Incorporating Collateral Value Uncertainty in Loss Given Default Estimates and Loan‐to‐value Ratios
提出一个风险债务模型，其中抵押品价值与违约可能性相关，用于研究预期违约损失率，帮助银行和监管机构更准确估计违约损失和确定贷款抵押要求。
Abstract We present a model of risky debt in which collateral value is correlated with the possibility of default. 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. We also examine the problem of determining sufficient collateral to secure a loan to a desired extent. In addition to bank practitioners, regulators might find our analysis useful in reviewing banks’ lending standards relative to current collateral values. In particular, the current proposals for The New (Basel) Capital Accord involve options for the use of banks’ own loss given default estimates which might benefit from the analysis in this paper.