Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
The authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific…
Many smaller dealers thought to be out of step with market practice and new capital rules
The author of this paper proposes a prudent methodology to correct for potential biases in LGD estimations due to historical price appreciations, appraisal biases and wear-and-tear or potential damage to the house.
Loans with low loss given defaults now considered impaired, lenders complain
The authors analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loan.
The authors conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD).
This paper presents a method for approximating the current loan-to-value (CLTV) and remaining principal structures of heterogeneous mortgage loan pools.
Estimating credit risk parameters using ensemble learning methods: an empirical study on loss given default
This study investigates two well-established ensemble learning methods: Stochastic Gradient Boosting and Random Forest, and proposed two new ensembles.
Improving credit risk modelling assumptions could soften Basel's push for input floors
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
Biggest share of bank capital at stake as regulators take aim at credit models
This paper compares two methods of estimating LGD: a beta regression model and a multinomial logit (MNL) model.
Regulators argue a backstop is needed to avoid too-low modelled numbers
The simple link from default to LGD
Systematic risk factors redefined
Breaking break clauses