par Schmit, Mathias
Référence Journal of banking & finance, 28, 4, page (811-833)
Publication Publié, 2004-04
Article révisé par les pairs
Résumé : This paper is devoted to the credit risk modeling issues of retail lease portfolios. Using a re-sampling method, I estimate the probability density function of losses and VaR measures in a portfolio of 46,732 leases issued between 1990 and 2000 by a major European financial institution. My results show that physical collaterals play a major role in reducing the credit risk associated with lease portfolios. However, because of insufficient recognition of such collaterals under the new regulatory capital framework (Basel II), significant differences are observed between the estimated capital requirements and those calculated in accordance with the various Basel II approaches. ©2003 Elsevier B.V. All rights reserved.