Recovery Rates in Consumer Lending: Empirical Evidence and Model Comparison

19 Pages Posted: 23 Oct 2013

See all articles by Samuel Privara

Samuel Privara

University of Economics, Prague

Marek Kolman

University of Economics

Jiri Witzany

University of Economics in Prague

Date Written: October 21, 2013

Abstract

The bank regulation embodied in the Basel II Accord has opened-up a new era in estimating recovery rates or complementary loss given default in retail lending credit evaluation process. In this paper we investigate the properties of survival analysis models applied for recovery rates in order to predict loss given default for retail lending. We compare the results to standard techniques such as linear and logistic regressions and discuss the pros and cons of the respective methods. The study is performed on a real dataset of a major Czech bank.

Keywords: recovery rates, loss given default, retail lending, survival analysis

JEL Classification: G21, G28, C14

Suggested Citation

Privara, Samuel and Kolman, Marek and Witzany, Jiri, Recovery Rates in Consumer Lending: Empirical Evidence and Model Comparison (October 21, 2013). Available at SSRN: https://ssrn.com/abstract=2343069 or http://dx.doi.org/10.2139/ssrn.2343069

Samuel Privara

University of Economics, Prague ( email )

nam. W.Churchilla 4
Prague 3, 130 67
Czech Republic

Marek Kolman

University of Economics ( email )

nam. W.Churchilla 4
Prague 3, 130 67
Czech Republic

Jiri Witzany (Contact Author)

University of Economics in Prague ( email )

Winston Churchilla Sq. 4
Prague 3, 130 67
Czech Republic

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