Probabilities of default fall on average across 39 countries
Data highlights the risks posed by economic protectionism, writes David Carruthers of Credit Benchmark
In this paper, the author estimates a two-equation system: one for LGD that incorporates time to recovery as one of the model explanatory variables, and the other for time to recovery using survival models that address data censoring.
Academic aims to address gaps in existing LGD forecast method with two-equation fix
Despite a drop in the bad loan ratio, default estimates continue to rise, writes David Carruthers of Credit Benchmark
EU approach to new credit risk framework must recognise local market structures, say banking experts
Size of task caught some banks unawares, leading to botched home-grown systems or data problems
RBS's total RWAs increase for the first time since 2015
The bank's credit RWAs continue upward trend
This paper reviews the ways of measuring the performance of LGD models that have been previously used in the literature and also suggests some new measures.
A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
This paper proposes a latent variable credit risk model for large loan portfolios. It employs the concept of nested Archimedean copulas to account for both a sector-type dependence structure and a copula-dependent stochastic loss given default (LGD).
Lobbyists confident EU policymakers can be persuaded to implement softer credit risk rules
Lack of convergence allows some banks to benefit from an arbitrage between booking and pricing the adjustment
Addressing probationary period within a competing risks survival model for retail mortgage loss given default
This paper presents a novel approach to modeling retail mortgage LGD estimation.
In this paper, the authors analyze the credit risk of Japanese regional banks when they lend to areas outside their original operational bases.
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits
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).