Economic capital for nonperforming loans

Abstract

Economic capital, Regulatory capital, Nonperforming loan, Recovery, Loss given default, C51, G11, G18, G33,

Financing structure and insolvency risk exposure of Islamic banks

“…They theoretically find that if a bank agrees to a preferred stock recapitalization, it does not imply that the lending behavior will improve or guarantee that the bank will become solvent. Weibbach and Wilkau (2010) theoretically investigate the relationship between nonperforming loans in a diversifying portfolio and economic capital (the insolvency risk). They find that the volatility of loan loss default is important in determining the economic capital.…”

Regulatory Estimates for Defaulted Exposures: A Case Study of Spanish Mortgages

“…In order to calculate both ELBE and LGD in-default, as indicated in Equations ( 1) and ( 9), respectively, the partitioning of the time in default is defined as indicated in Table 2. 12 5 years ELBE 13 and LGD 13 6 years ELBE 14 and LGD 14 7 years ELBE 15 and LGD 15 8 years ELBE 16 and LGD 16 9 years ELBE 17 and LGD 17 10 years…”

“…The second model is based on an empirical estimator from a log-log function. Weissbach et al [14] focuses their study on the economic capital estimator and proposes the use of Advanced IRB models, especially ELBE and LGD in-default that are calculated as one factor models. The application of survival analysis and a mixture distribution is analyzed by Zhang and C. Thomas [15] for the purpose of the recovery ratio modelling and the subsequent LGD prediction.…”