Measuring Loss on Latin American Defaulted Bank Loans: A 27-Year Study of 27 Countries

Journal of Lending & Credit Risk Management, October 1998

Posted: 30 Sep 1998

See all articles by Lew Hurt

Lew Hurt

Société Générale - Portfolio Analysis

Akos Felsovalyi

Citibank, N.A.

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Abstract

This article, based on a 27-year study, describes the characteristics of commercial and industrial loan defaults in Latin America (LA), including in particular the loss in the event of default (LIED). For banks, improved understanding of losses enables lenders to make better pricing decisions, to allocate capital more efficiently, and to obtain more accurate estimates of loan losses and valuations of existing loan portfolios. For investors, the benefit is a more informed decision about portfolio diversification. The article provides characteristics of 1,149 Latin American defaults, examines the distribution of defaults by country, depicts the stability of LA LIED by year, and reports the effects of sovereign events on Latin American corporate loan loss rates.

JEL Classification: F34, G21, G33

Suggested Citation

Hurt, Lew and Felsovalyi, Akos, Measuring Loss on Latin American Defaulted Bank Loans: A 27-Year Study of 27 Countries. Journal of Lending & Credit Risk Management, October 1998. Available at SSRN: https://ssrn.com/abstract=129608

Lew Hurt (Contact Author)

Société Générale - Portfolio Analysis ( email )

1221 Avenue of the Americas
New York, NM 10020
United States
5053437457 (Phone)

Akos Felsovalyi

Citibank, N.A. ( email )

399 Park Ave., 11th Floor
New York, NY 10043
United States
212-559-7463 (Phone)
212-793-3046 (Fax)

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