1
Faculty Member, College of Management and Finance, Khatam University
2
M. A. in Financial Management
Abstract
This research aims to identify the influential components on LGD by using Tobit regression on institutional customers of the bank of Industry and Mine. In order to achieve this goal, LGD can be used to calculate the probability of default on the basis of the Basel II agreement. LGD is the amount of loss a bank faces when the borrowers default on loan repayment. To accomplish this goal, 204 of institutional customers of bank for an 8 years period (2007-2014) have been chosen as a sample. The results show a significant relation between loan amount, collaterals (excepted promissory notes), industry type and LGD, and no significant relation between loan maturities and LGD.
Khoshtinat,M and Alavi,S N . (2017). Identification of Loss-Given-Default (LGD) Effective Factors by Using Tobit Regression Model (Case Study: Bank of Industry and Mine Corporate Clients). Quarterly Studies in Banking Management and Islamic Banking, 3(5), 1-29.
MLA
Khoshtinat,M , and Alavi,S N . "Identification of Loss-Given-Default (LGD) Effective Factors by Using Tobit Regression Model (Case Study: Bank of Industry and Mine Corporate Clients)", Quarterly Studies in Banking Management and Islamic Banking, 3, 5, 2017, 1-29.
HARVARD
Khoshtinat M, Alavi S N. (2017). 'Identification of Loss-Given-Default (LGD) Effective Factors by Using Tobit Regression Model (Case Study: Bank of Industry and Mine Corporate Clients)', Quarterly Studies in Banking Management and Islamic Banking, 3(5), pp. 1-29.
CHICAGO
M Khoshtinat and S N Alavi, "Identification of Loss-Given-Default (LGD) Effective Factors by Using Tobit Regression Model (Case Study: Bank of Industry and Mine Corporate Clients)," Quarterly Studies in Banking Management and Islamic Banking, 3 5 (2017): 1-29,
VANCOUVER
Khoshtinat M, Alavi S N. Identification of Loss-Given-Default (LGD) Effective Factors by Using Tobit Regression Model (Case Study: Bank of Industry and Mine Corporate Clients). Quarterly Studies in Banking Management and Islamic Banking. 2017;3(5):1-29 (In Persian).
