Loss given default (lgd)
In this study we investigated several of the most popular loss given default (LGD) models (least-squares method, Tobit, three-tiered Tobit, beta regression, inflated beta regression, censored gamma regression)...
Steve Satchell Trinity College, University of Cambridge Our journal's subject matter continues to evolve in response to current issues. This is clearly a very healthy process and is of obvious benefit...
In the last three years most European banking groups have chosen to adopt Basel II "advance status". This has required banks to develop statistical models for estimating probability of default, loss given...
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
More Loss given default (lgd) articles
Ashish Dev JPMorgan Chase, New York In this issue of The Journal of Credit Risk we present three full-length research papers and one technical report. The issue's first paper, "Debt structure, market value of firm and recovery rate", is by Min Qi...
The value of early termination clauses in derivatives depends crucially on the type of close-out value used and on the counterparty risk, and embeds optionality in even the most vanilla swap contracts. In the case of the so-called risk-free close-out,...
Less modelling freedom makes sense, says loan data expert – and the alternatives would be far worse
Behind-the-scenes clampdown sets loss-given-default floor at 45% – and could make UK bonds less attractive
Turkey’s banks are well placed to absorb an increase in capital requirements when the country switches to the Basel II regime this month, but larger institutions are frustrated that the modelling approaches contained in the new rules remain out of bounds....
We propose two structural models for stochastic loss given default that allow the credit losses of a portfolio of defaultable financial instruments to be modeled. The credit losses are integrated into a structural model of default events accounting for...
The Basel Accords have created the need to develop and implement models for probability of default (PD), loss given default (LGD) and exposure at default (EAD). Although PD is quite well researched, LGD and EAD lag behind in terms of both theoretical...
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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