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• W2012389401 abstract "We propose a framework for analyzing the credit risk of secured loans under historical probability. We assume that the collateral cannot be liquidated immediately. Closed-form solutions for the expected loss are obtained for non-revolving loans. In the revolving case, we introduce a minimization problem with a loss function parameterized by a risk reluctance coefficient. We use stochastic control techniques to derive the Partial Integro-Differential Equation satisfied by the value function, and solve it numerically with a finite difference scheme. We exhibit optimal strategies and compare them with the standard LTV-based lending policy." @default.
• W2012389401 created "2016-06-24" @default.
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• W2012389401 date "2011-01-01" @default.
• W2012389401 modified "2023-09-23" @default.
• W2012389401 title "On the Credit Risk of Secured Loans" @default.
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• W2012389401 doi "https://doi.org/10.2139/ssrn.1950193" @default.
• W2012389401 hasPublicationYear "2011" @default.
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