Klapwijk, A (2017) What are the determinants of loss given default for commercial real estate loans? Master thesis.
|
Text
Final_Master_Thesis_Ashley_Klapwijk.pdf Download (2MB) | Preview |
Abstract
Whereas previous research examined defaulted commercial real estate loans and hence the point-in-time loss given default, this paper is the first to examine downturn loss given default for healthy as well as defaulted commercial real estate loans from healthy Dutch banks. Using confidential loan-level data provided by the Dutch Central Bank, this paper shows that borrower and loan characteristics are strong determinants of downturn loss given default. More importantly, the results shows that the downturn loss given default of the collateral type is dependent on the location of the collateral. Thus, heterogeneity should be taken in to account.
| Item Type: | Thesis (Master) |
|---|---|
| Degree programme: | Real Estate Studies |
| Supervisor: | Liu, X and Vlist, A. van der and Nijskens, R |
| Date Deposited: | 23 Apr 2020 05:34 |
| Last Modified: | 23 Apr 2020 05:34 |
| URI: | https://frw.studenttheses.ub.rug.nl/id/eprint/2022 |
Actions (login required)
 |
View Item |