Risk.net

The simple link from default to LGD

The simple link from default to LGD

distressed-piggy
  • Jon Frye
  • LinkedIn  
  • Save this article
  • Print this page  

Every credit portfolio produces default rates and loss given default (LGD) rates. If the two rates respond to the same conditions then risk is greater, and this affects loan pricing, portfolio optimisation and capital attribution. Any model containing a default rate and an LGD rate must account for their co-movement.

The simple link from default to LGD

To continue reading...

More on Credit risk

Most read on Risk.net

  1. Deal of the year: Deutsche Bank
  2. Isda set to launch fallback spread consultation
  3. CLO investors find silver lining in Libor’s demise
  4. Asia Risk Awards 2019: The winners
  5. Bank of China pioneers SOFR lending in Asia

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: