Add to ORKGThis Chapter surveys the literature on the estimation of expected LGD and recovery risk, critically discussing the various ways it was dealt with under different approaches (structural models, reduced-form models, portfolio models) and highlighting avenues for future research
The Basel framework allows banks to assess their credit risk by using their own estimates of Loss Gi...
The Basel II accord regulates risk and capital management requirements to ensure that a bank holds e...
Loss given default (LGD) is a proportion of a credit exposure that is lost if the obligor defaults o...
This Chapter surveys the literature on the estimation of expected LGD and recovery risk, critically ...
The measurement of LGD - the share of an exposure that is actually lost when a borrower defaults - i...
The measurement of LGD - the share of an exposure that is actually lost when a borrower defaults - i...
The chapter looks at LGD (loss given default) from a regulatory and a risk management perspecitve
The chapter looks at LGD (loss given default) from a regulatory and a risk management perspecitve
The following sections are included: Basic Definition Recovery Rating Scale LGD Mod...
The following sections are included: Basic Definition Recovery Rating Scale LGD Mod...
Title: Statistical techniques for Loss Given Default Modeling Author: Veronika Betíková Department: ...
We propose a portfolio credit risk model with dependent loss given default (LGD) which allows for a...
This thesis focuses on the key credit risk parameter - Loss Given Default (LGD). We describe its gen...
LossCalc ™ version 2.0 is the Moody's KMV model to predict loss given default (LGD) or (1- reco...
The Basel framework allows banks to assess their credit risk by using their own estimates of Loss Gi...
The Basel framework allows banks to assess their credit risk by using their own estimates of Loss Gi...
The Basel II accord regulates risk and capital management requirements to ensure that a bank holds e...
Loss given default (LGD) is a proportion of a credit exposure that is lost if the obligor defaults o...
This Chapter surveys the literature on the estimation of expected LGD and recovery risk, critically ...
The measurement of LGD - the share of an exposure that is actually lost when a borrower defaults - i...
The measurement of LGD - the share of an exposure that is actually lost when a borrower defaults - i...
The chapter looks at LGD (loss given default) from a regulatory and a risk management perspecitve
The chapter looks at LGD (loss given default) from a regulatory and a risk management perspecitve
The following sections are included: Basic Definition Recovery Rating Scale LGD Mod...
The following sections are included: Basic Definition Recovery Rating Scale LGD Mod...
Title: Statistical techniques for Loss Given Default Modeling Author: Veronika Betíková Department: ...
We propose a portfolio credit risk model with dependent loss given default (LGD) which allows for a...
This thesis focuses on the key credit risk parameter - Loss Given Default (LGD). We describe its gen...
LossCalc ™ version 2.0 is the Moody's KMV model to predict loss given default (LGD) or (1- reco...
The Basel framework allows banks to assess their credit risk by using their own estimates of Loss Gi...
The Basel framework allows banks to assess their credit risk by using their own estimates of Loss Gi...
The Basel II accord regulates risk and capital management requirements to ensure that a bank holds e...
Loss given default (LGD) is a proportion of a credit exposure that is lost if the obligor defaults o...