Problems of Determining the Cost of Collateral in the Conditions of Implementation Basel II, III Standards in Russia

Authors

  • Marina A. Fedotova Department of Corporate Finance and Corporate Governance of Financial University under the Government of Russian Federation, Moscow
  • Tatiana V. Tazikhina Department of Corporate Finance and Corporate Governance of Financial University under the Government of Russian Federation, Moscow
  • Yana V. Nadezhdina Department of Corporate Finance and Corporate Governance of Financial University under the Government of Russian Federation, Moscow
  • Inna V. Raeva Department of Corporate Finance and Corporate Governance of Financial University under the Government of Russian Federation, Moscow

Keywords:

LGD, Advanced IRB approach, collateral value, collateral value change factors, linear and multifactor valuation models LGD.

Abstract

This paper analyzes the impact of the collateral value on the assessment of credit risk in the framework of the Advanced IRB approach and proves its impact on the LGD parameter and also provides a statistical analysis of the linear and multifactor models of the LGD score in order to detect a positive correlation. Based on the analysis, factors that influence the cost of collateral and the valuation of LGD are determined. The results of the research confirm the hypothesis put forward in the study that the valuation of collateral provides a significant influence on the measurement and management of the LGD indicator in conditions of building an Advanced IRB approach

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Published

2018-11-12

Issue

Section

Special Issue - Modern Corporate Finance: New Approaches and Decisions