Measuring Loss on Latin American Defaulted Bank Loans: A 27-Year Study of 27 Countries

8 Pages Posted: 21 Sep 1998

See all articles by Akos Felsovalyi

Akos Felsovalyi

Citibank, N.A.

Lew Hurt

Société Générale - Portfolio Analysis

Multiple version iconThere are 2 versions of this paper

Date Written: August 1998

Abstract

This article, based on a 27-year study, describes the characteristics of commercial and industrial loan defaults in Latin America (LA), including in particular the loss in the event of default (LIED). For banks, improved understanding of losses enables lenders to make better pricing decisions, to allocate capital more efficiently, and to obtain more accurate estimates of loan losses and valuations of existing loan portfolios. For investors, the benefit is a more informed decision about portfolio diversification. The article provides characteristics of 1,149 Latin American defaults, examines the distribution of defaults by country, depicts the stability of LA LIED by year, and reports the effects of sovereign events on Latin American corporate loan loss rates.

JEL Classification: F34, G21, G33

Suggested Citation

Felsovalyi, Akos and Hurt, Lew, Measuring Loss on Latin American Defaulted Bank Loans: A 27-Year Study of 27 Countries (August 1998). Available at SSRN: https://ssrn.com/abstract=128672 or http://dx.doi.org/10.2139/ssrn.128672

Akos Felsovalyi (Contact Author)

Citibank, N.A. ( email )

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Lew Hurt

Société Générale - Portfolio Analysis ( email )

1221 Avenue of the Americas
New York, NM 10020
United States
5053437457 (Phone)

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