Data Envelopment Analysis, DEA
Loan portfolio performance evaluation by using stochastic recovery rate

Shokouh Shahbeyk; Shokoofe Banihashemi

Volume 11, Issue 1 , February 2024, , Pages 116-124

https://doi.org/10.22105/jarie.2023.346023.1478

Abstract
  One of the most critical aspects of credit risk management is determining the capital requirement to cover the credit risk in a bank loan portfolio. This paper discusses how the credit risk of a loan portfolio can be obtained by the stochastic recovery rate based on two approaches: beta distribution ...  Read More