Loss given default (LGD)
Further investigation of parametric loss given default modeling
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).
Modeling the current loan-to-value structure of mortgage pools without loan-specific data
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.
Banks battle to preserve ‘good value’ IRB models
Improving credit risk modelling assumptions could soften Basel's push for input floors
Default risk floors threaten €72bn of RWAs in EU
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
Industry fears grow ahead of Basel IRB consultation
Biggest share of bank capital at stake as regulators take aim at credit models
Loss given default modeling: an application to data from a Polish bank
This paper compares two methods of estimating LGD: a beta regression model and a multinomial logit (MNL) model.
Hit the floor: banks fear Basel curbs for capital models
Regulators argue a backstop is needed to avoid too-low modelled numbers
The simple link from default to LGD
The simple link from default to LGD
Systematic risk factors redefined
Systematic risk factors redefined
Breaking break clauses
Breaking break clauses
Risk USA: Regulators called on to restrict loan modelling choices
Less modelling freedom makes sense, says loan data expert – and the alternatives would be far worse
FSA forces UK banks to assume higher sovereign losses
Behind-the-scenes clampdown sets loss-given-default floor at 45% – and could make UK bonds less attractive
