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Loss-Given-Default and Macroeconomic Conditions
SSRN Electronic JournalWe study the sensitivity of the realised loss-given-default (LGD) to macroeconomic conditions by exploring Global Credit's confidential dataset on observed cash flows from defaulted loans. Given the prolonged duration of loan recovery, spanning several years, and the potential for macroeconomic fluctuations during this time frame, our study explores ...
Galow, Benjamin +2 more
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Credit loss and systematic loss given default
The Journal of Credit Risk, 2012Credit loss varies from period to period, both because the default rate varies and because the loss given default (LGD) rate varies. The default rate has been tied to a firm’s probability of default (PD) and to factors that cause default. The LGD rate has proved more difficult to model because continuous LGD is more subtle than binary default and ...
Jon Frye, Michael Jacobs
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Modeling loss given default regressions
The Journal of Risk, 2020We investigate the puzzle in the literature that various parametric loss given default (LGD) statistical models perform similarly, by comparing their performance in a simulation framework. We find that, even using the full set of explanatory variables from the assumed data-generating process where noise is minimized, these models still show a similarly
Phillip Li, Xiaofei Zhang, Xinlei Zhao
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2012
Fundamental to credit risk management and the calculation of regulatory capital under the IRB approach is the ‘loss given default’ (LGD), which represents the loss experienced if a borrower defaults. In principle, supervisors do not require any specific technique for LGD estimation (or for estimating other IRB parameters); however, organizations will ...
Luisa Izzi +2 more
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Fundamental to credit risk management and the calculation of regulatory capital under the IRB approach is the ‘loss given default’ (LGD), which represents the loss experienced if a borrower defaults. In principle, supervisors do not require any specific technique for LGD estimation (or for estimating other IRB parameters); however, organizations will ...
Luisa Izzi +2 more
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2006
Loss given default (LGD) is not an issue for the standardized and IRBF approaches of Basel 2. The Standardized Approach gives us rough weights for the various asset classes that does not explicitly integrate LGD in the way they are formulated. The IRBF approach relies on values furnished by the regulators, and the recognition of collateral (except for ...
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Loss given default (LGD) is not an issue for the standardized and IRBF approaches of Basel 2. The Standardized Approach gives us rough weights for the various asset classes that does not explicitly integrate LGD in the way they are formulated. The IRBF approach relies on values furnished by the regulators, and the recognition of collateral (except for ...
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Estimating Conservative Loss Given Default
SSRN Electronic Journal, 2008The new Basel Capital Accord (Basel II) is going to be embedded in the risk management practices at many financial institutions shortly, but the academic and financial world are still discussing about several topics related to the new capital adequacy rules.
Schmid, Markus, Sabato, Gabriele
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2016
Loss Given Default (LGD) is the second key parameter in the Basel formula discussed in Chapter 3. In fact, by looking at the formula, we can notice how the computed capital requirement is linear in the LGD estimate and less than linear (actually concave) in the PD estimate (which is embedded in the copula-like formula for the inverse normal ...
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Loss Given Default (LGD) is the second key parameter in the Basel formula discussed in Chapter 3. In fact, by looking at the formula, we can notice how the computed capital requirement is linear in the LGD estimate and less than linear (actually concave) in the PD estimate (which is embedded in the copula-like formula for the inverse normal ...
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Effects of debt collection practices on loss given default
Journal of Banking & Finance, 2013In this article, we propose an LGD model that is solely based on legal and internal debt collection actions. Our model is supported by empirical tests in which it performs better than a usual firm specific model. This result is noteworthy when we recall that the model has only binary variables that indicate whether an action was taken. Our model can be
Chulwoo Han, Youngmin Jang
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Exposure to default and loss given default
2009Two important risk drivers in credit risk are exposure risk (measured by exposure at default (EAD) and loss given default (LGD) or recovery rate (RR)). The former is related to the fact that the amount due at default could not be known with certainty.
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The Selection of the Discount Rate in Estimating Loss Given Default [PDF]
Global Journal of Business Research, 2007 In light of the management and regulatory advances regarding the Loss Given Default, this paper takes on the topic of choosing the proper rate for the estimate of the current value of recoveries. By means of a review of the available literature on LGD, the solutions adopted in the selection of the discount rate are analyzed and compared, in particular ...
GIBILARO, Lucia, Mattarocci, Gianluca
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