Measuring the Recovery Performance of a Portfolio of NPLs
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 over time, here assumed discretized...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-02-01
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| Series: | Computation |
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| Online Access: | https://www.mdpi.com/2079-3197/11/2/29 |
| _version_ | 1797621655365746688 |
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| author | Alessandra Carleo Roberto Rocci Maria Sole Staffa |
| author_facet | Alessandra Carleo Roberto Rocci Maria Sole Staffa |
| author_sort | Alessandra Carleo |
| collection | DOAJ |
| description | 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 over 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 the presence of right-censored data, e.g., when the NPLs composing the portfolio have been observed in different time periods, with a method based on an algorithm that is usually used in the construction of survival curves. The curves obtained are smoothed with nonparametric statistical learning techniques. The effectiveness of the proposal is shown by applying the method to simulated and real financial data. The latter are about some portfolios of Italian unsecured NPLs taken over by a specialized operator. |
| first_indexed | 2024-03-11T08:59:01Z |
| format | Article |
| id | doaj.art-7abb2e21a5514b06a75476694857d935 |
| institution | Directory Open Access Journal |
| issn | 2079-3197 |
| language | English |
| last_indexed | 2024-03-11T08:59:01Z |
| publishDate | 2023-02-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Computation |
| spelling | doaj.art-7abb2e21a5514b06a75476694857d9352023-11-16T19:52:53ZengMDPI AGComputation2079-31972023-02-011122910.3390/computation11020029Measuring the Recovery Performance of a Portfolio of NPLsAlessandra Carleo0Roberto Rocci1Maria Sole Staffa2Department of Business Economics, Roma Tre University, 00145 Rome, ItalyDepartment of Statistical Sciences, Sapienza University, 00185 Rome, ItalyHuman Sciences Department, European University of Rome, 00163 Rome, ItalyThe 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 over 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 the presence of right-censored data, e.g., when the NPLs composing the portfolio have been observed in different time periods, with a method based on an algorithm that is usually used in the construction of survival curves. The curves obtained are smoothed with nonparametric statistical learning techniques. The effectiveness of the proposal is shown by applying the method to simulated and real financial data. The latter are about some portfolios of Italian unsecured NPLs taken over by a specialized operator.https://www.mdpi.com/2079-3197/11/2/29recovery ratetime to liquidateNPLcensored data |
| spellingShingle | Alessandra Carleo Roberto Rocci Maria Sole Staffa Measuring the Recovery Performance of a Portfolio of NPLs Computation recovery rate time to liquidate NPL censored data |
| title | Measuring the Recovery Performance of a Portfolio of NPLs |
| title_full | Measuring the Recovery Performance of a Portfolio of NPLs |
| title_fullStr | Measuring the Recovery Performance of a Portfolio of NPLs |
| title_full_unstemmed | Measuring the Recovery Performance of a Portfolio of NPLs |
| title_short | Measuring the Recovery Performance of a Portfolio of NPLs |
| title_sort | measuring the recovery performance of a portfolio of npls |
| topic | recovery rate time to liquidate NPL censored data |
| url | https://www.mdpi.com/2079-3197/11/2/29 |
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