This paper aims at proposing a new methodology to compute recovery rate on non-performing bank loans, in order to confine this variable within the interval [0,1]. Such a methodology is then applied to data on loans gathered by the Bank of Italy and some interesting characteristics of the loan recovery process in the Italian banking market are highlighted. The combined effects of some variables on the recovery rates are also analysed. In particular, the presence of either collateral or personal guarantee, the borrower's residence area are considered, thereby emphasizing the relationship between the recovery rate and the total exposure.

Calabrese, R., Zenga, M. (2008). Measuring loan recovery rate: methodology and empirical evidence. STATISTICA & APPLICAZIONI, 6(2), 193-214.

Measuring loan recovery rate: Methodology and empirical evidence

ZENGA, MICHELE
2008

Abstract

This paper aims at proposing a new methodology to compute recovery rate on non-performing bank loans, in order to confine this variable within the interval [0,1]. Such a methodology is then applied to data on loans gathered by the Bank of Italy and some interesting characteristics of the loan recovery process in the Italian banking market are highlighted. The combined effects of some variables on the recovery rates are also analysed. In particular, the presence of either collateral or personal guarantee, the borrower's residence area are considered, thereby emphasizing the relationship between the recovery rate and the total exposure.
No
Articolo in rivista - Articolo scientifico
Scientifica
recovery rate, total exposure, boundary problem
English
193
214
22
Calabrese, R., Zenga, M. (2008). Measuring loan recovery rate: methodology and empirical evidence. STATISTICA & APPLICAZIONI, 6(2), 193-214.
Calabrese, R; Zenga, M
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10281/4121
Citazioni
  • Scopus 8
  • ???jsp.display-item.citation.isi??? ND
Social impact