Measuring the Recovery Performance of a Portfolio of NPLs
| Autor: | Alessandra Carleo, Roberto Rocci, Maria Sole Staffa |
|---|---|
| Přispěvatelé: | Antonio Balzanella, Matilde Bini, Christian Capezza, Fabio Centofanti, Michele Gallo, Daniel Jeske, Antonio Lepore, Lucio Palazzo, Biagio Palumbo, Rosaria Romano, Roberto Rondinelli, Violetta Simonacci, Rosaria Simone, Maria Sole Pellegrino, Gianluca Sposito, Amalia Vanacore, Rocci, Roberto, Carleo, Alessandra, Staffa, Maria Sole |
| Jazyk: | angličtina |
| Rok vydání: | 2023 |
| Předmět: | |
| Zdroj: | Computation Volume 11 Issue 2 Pages: 29 |
| ISSN: | 2079-3197 |
| DOI: | 10.3390/computation11020029 |
| Popis: | Non-Performing Loans (NPLs) are exposures in state of insolvency, i.e. loans whose collection by banks is uncertain in terms of the amount that will be returned and the time of return. In order to measure the recovery performance of a portfolio of NPLs, our idea is to draw a curve representing the recovery rates during time, here assumed discretized, for example, in years. In this way, the user can get simultaneously information about recovery rate and time to liquidate of the portfolio. However, the computation of this curve becomes infeasible when some elements of the portfolio are right censored, i.e. the recovery rate trajectory is known only until a particular year. In this talk, a new method of estimation of the recovery rate curve in case of right censored data is presented. It is studied from a theoretical point of view in a simulation study, where it is tested and compared with other methods. It is studied from a practical point of view, where it is applied to a real financial data set about some portfolios of Italian unsecured NPLs taken in charge by a specialized operator. |
| Databáze: | OpenAIRE |
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