Journal of Risk Model Validation

Downturn LGD for Hong Kong mortgage loan portfolios

Daniel Rösch, Harald Scheule


Recent studies find a positive correlation between default and loss given default (LGD) rates for credit portfolios. In response, financial regulators require financial institutions to base their capital on the "downturn" loss rate given default, which is also known as downturn LGD. This paper compares alternative concepts for the downturn LGD of Hong Kong mortgage loan portfolios.

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