Statistical techniques for Loss Given Default Modeling

Title: Statistical techniques for Loss Given Default Modeling Author: Veronika Betíková Department: Department of Probability and Mathematical Statistics Supervisor: Mgr. Karel Vaníček Supervisor's e-mail address: karelvanicek@seznam.cz Abstract: The aim of this thesis is to introduce Loss given default as one of the parameters of credit risk. The thesis discusses the basic characters and meth- ods of LGD calculation. It also points out the common use of linear regression models and generalized linear models which are used in practice to estimate LGD parameter. Individual mathematical models and statistical methods for estima- tions of the parameters of such models are concisely described and consequently applied on simulated data. Keywords: LGD, beta regression, OLS, estimation