Effects of Debt Collection Practices on Loss Given Default
42 Pages Posted: 23 Apr 2014
Date Written: April 21, 2014
Abstract
In this article, we propose an LGD model that is solely based on legal and internal debt collection actions. Our model is supported by empirical tests in which it performs better than a usual firm specific model. This result is noteworthy when we recall that the model has only binary variables that indicate whether an action was taken. Our model can be applied to update the LGD of distressed firms in a timely manner reflecting the actions taken during the debt collection period. It also can be used to assess the effect of a recovery action and to determine whether to apply an action to certain types of debt.
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules
-
The Link between Default and Recovery Rates
By Edward I. Altman, Brooks Brady, ...
-
The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications
By Edward I. Altman, Brooks Brady, ...
-
The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications
By Edward I. Altman, Brooks Brady, ...
-
The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications
By Edward I. Altman, Brooks Brady, ...
-
The Link between Default and Recovery Rates: Theory, Empirical Evidence and Implications
By Edward I. Altman, Brooks Brady, ...
-
Understanding Aggregate Default Rates of High Yield Bonds
By Jean Helwege and Paul Kleiman