Calabrese, Raffaella and Zenga, Michele (2010) 'Bank loan recovery rates: Measuring and nonparametric density estimation.' Journal of Banking & Finance, 34 (5). pp. 903-911. ISSN 0378-4266

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Abstract

In this paper we analyse a comprehensive database of 149,378 recovery rates on Italian bank loans. We investigate a new methodology to compute the recovery percentage that we suggest to consider as a mixed random variable. To estimate the probability density function of such a mixture, we propose the mixture of beta kernels estimator and we analyse its performance by Monte Carlo simulations. The application of these proposals to the Bank of Italy’s data shows that, even if we remove the endpoints from the support of the recovery rate, the density function estimate is far from being a beta function.

Item Type:	Article
Uncontrolled Keywords:	Recovery rate; Boundary problem; Mixed random variable; Mixture; Beta kernel
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User:	Jo Wiltshire
Date Deposited:	18 Sep 2013 12:39
Last Modified:	13 Nov 2015 16:33
URI:	http://repository.essex.ac.uk/id/eprint/7615

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