The objective of the present paper is to propose a new method to measure the recovery performance of a portfolio of non-performing loans (NPLs) in terms of recovery rate and time to liquidate. The fundamental idea is to draw a curve representing the recovery rates during time, here assumed discretized, for example, in years. In this way, the user can get simultaneously information about recovery rate and time to liquidate of the portfolio. In .particular, it is discussed how to estimate such a curve in presence of right censored data, i.e. when the NPLs composing the portfolio have been observed in different time periods. Uncertainty about the estimates is depicted trough confidence bands obtained by using the non-parametric Bootstrap. The effectiveness of the proposals is shown by applying the method to a real financial data set about some portfolios of Italian unsecured NPLs taken in charge by a specialized operator.

Rocci, R., Carleo, A., Staffa, M.S. (2021). Estimating recovery rate and time to liquidate for NPLs. In Working Paper Numero 16, 2021 - Collana del Dipartimento di Economia Aziendale.

Estimating recovery rate and time to liquidate for NPLs

Carleo, Alessandra;
2021

Abstract

The objective of the present paper is to propose a new method to measure the recovery performance of a portfolio of non-performing loans (NPLs) in terms of recovery rate and time to liquidate. The fundamental idea is to draw a curve representing the recovery rates during time, here assumed discretized, for example, in years. In this way, the user can get simultaneously information about recovery rate and time to liquidate of the portfolio. In .particular, it is discussed how to estimate such a curve in presence of right censored data, i.e. when the NPLs composing the portfolio have been observed in different time periods. Uncertainty about the estimates is depicted trough confidence bands obtained by using the non-parametric Bootstrap. The effectiveness of the proposals is shown by applying the method to a real financial data set about some portfolios of Italian unsecured NPLs taken in charge by a specialized operator.
Rocci, R., Carleo, A., Staffa, M.S. (2021). Estimating recovery rate and time to liquidate for NPLs. In Working Paper Numero 16, 2021 - Collana del Dipartimento di Economia Aziendale.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11590/421032
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