The simple link from default to LGD
The simple link from default to LGD
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
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing 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/
If you would like to purchase additional rights please email [email protected]
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/
If you would like to purchase additional rights please email [email protected]
More on Credit risk
Risk Management
Thriving in the new resilience normal
While the Covid-19 pandemic may be largely behind us, new challenges emerge as firms renavigate and optimise operations in the ‘new normal’. Today the focus has shifted to making operational resilience scalable and sustainable. In a Risk.net panel…
Receive this by email
Most read on Risk.net
- Calls grow to ease restrictions on term SOFR derivatives
- Geopolitics, volatility and transformation: the top trading and intraday risk management concerns
- Commodities threaten pain for initial margins
- Libor/SOFR basis like ‘free money’ for early movers – GS trader
- Rates correlations break down amid volatility surge