eprintid: 2022
rev_number: 1
eprint_status: archive
userid: 1
dir: disk0/00/00/20/22
datestamp: 2020-04-23 05:34:23
lastmod: 2020-04-23 05:34:23
status_changed: 2020-04-23 05:34:23
type: thesis
metadata_visibility: show
creators_name: Klapwijk, A
title: What are the determinants of loss given default for commercial real estate loans?
ispublished: pub
full_text_status: public
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.
date: 2017
date_type: published
thesis_type: master
degree_programme: VG
tutors_name: Liu, X
tutors_name: Vlist, A. van der
tutors_name: Nijskens, R
keywords_local: Bank Loans
keywords_local: Commercial Real Estate
keywords_local: Loss Given Default
keywords_local: Credit Risk
language_iso: en
titleorder: What are the determinants of loss given default for commercial real estate loans?
dbi: 59649e76391c2
imported_item: yes
date_of_import: 2020-04-22
imported_from: http://scripties.frw.eldoc.ub.rug.nl/root/ma/VG/2017/aklapwijk/
import_source_file: theses-frw-20200422132455-59649e76391c2.xml
date_issued: 2017-01-01
description_company: De Nederlandsche Bank
citation:   Klapwijk, A  (2017) What are the determinants of loss given default for commercial real estate loans?  Master thesis.   
document_url: https://frw.studenttheses.ub.rug.nl/2022/1/Final_Master_Thesis_Ashley_Klapwijk.pdf