The internal estimates of Loss Given Default (LGD) must reflect economic downturn
conditions, thus estimating the “downturn LGD”, as the new Basel Capital Accord Basel II …

To represent the high concentration of recovery rates at the boundaries, we propose to
consider the recovery rate as a mixed random variable, obtained as the mixture of a …

Abstract Loss Given Default (LGD) is the loss borne by the bank when a customer defaults
on a loan. LGD for unsecured retail loans is often found difficult to model. In the frequentist …

Modeling loss in the case of default is a crucial task for financial institutions to support the
decision making process in the risk management framework. It has become an inevitable …

A sound statistical model for recovery rates is required for various applications in
quantitative risk management, with the computation of capital requirements for loan …

The key criteria for making business decisions is profit, so when making credit limit-setting
strategy decisions, profitability will be the most important driver. The profitability of a credit …

This paper studies the impact of housing market cycles on loss given default (LGD).
Previous studies have shown that the current loan-to-value ratio (CLTV) is the most …

Abstract The Internal Rating Based (IRB) approach requires that financial institutions
estimate the Loss Given Default (LGD) parameter not only based on closed defaults but also …

​ Inkassounternehmen und die Determinanten ihres Erfolgs beim Einzug von
Lieferantenkrediten sind nur äußerst selten Gegenstand wissenschaftlicher …

❑ Assumes LGD has Beta distribution❑ Beta distribution is defined over (0, 1)→ small
constant (10-5) is added to/subtracted from end-point values 0 and 1❑ Different …