Journal of Risk Model Validation
ISSN:
1753-9579 (print)
1753-9587 (online)
Editor-in-chief: Steve Satchell
A realistic approach for estimating and modeling loss given default
Rakesh Malkani
Abstract
ABSTRACT
More often than not, commercial banks encounter problems in accurately determining the allowance for loan losses. This research paper explores the basic framework for modeling commercial loan loss given default given important considerations. Industry best practices based on the key hypothesis involving volatility of a firm's cashflows, capital structure, asset value and characteristics of the credit parameters have been used to arrive at a robust loss given default model.
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Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
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