What do we know about loss given default?

T Schuermann - 2004 - papers.ssrn.com
Abstract The New Basel Accord will allow internationally active banking organizations to
calculate their credit risk capital requirements using an internal ratings based (IRB) …

[PDF][PDF] LossCalcTM: Model for predicting loss given default (LGD)

GM Gupton, RM Stein, A Salaam… - Moody's KMV, New York, 2002 - rogermstein.com
This report describes and documents LossCalc, Moody's model for predicting loss given
default (LGD): the equivalent of (1-recovery rate. LGD is of natural interest to investors and …

[PDF][PDF] Bank loan loss given default

GM Gupton, D Gates, LV Carty - Moody's Investors Service, Global …, 2000 - financerisks.com
This paper, an update on Moody's November 1996 study, examines borrowers of bank
loans, rather than the banks that made defaulted loans. It looks at secondary market price …

[BOOK][B] Active credit portfolio management in practice

JR Bohn, RM Stein - 2009 - books.google.com
State-of-the-art techniques and tools needed to facilitate effective credit portfolio
management and robust quantitative credit analysis Filled with in-depth insights and expert …

[BOOK][B] Credit risk pricing models: Theory and practice

B Schmid - 2012 - books.google.com
This new edition is a greatly extended and updated version of my earlier monograph"
Pricing Credit Linked Financial Instruments"(Schmid 2002). Whereas the first edition …

[BOOK][B] Understanding financial risk management

A Corelli - 2014 - taylorfrancis.com
Financial Risk Management is a topic of primary importance in financial markets and, more
generally, in life. Risk can be seen as an opportunity if related to the concept of …

Advancing loss given default prediction models: how the quiet have quickened

GM Gupton - Economic Notes, 2005 - Wiley Online Library
We describe LossCalc™ version 2.0: the Moody's KMV model to predict loss given default
(LGD), the equivalent of (1− recovery rate). LossCalc is a statistical model that applies …

[BOOK][B] Exotic Derivatives and Risk: Theory, Extensions and Applications

M Bellalah - 2008 - books.google.com
This book discusses in detail the workings of financial markets and over-the-counter (OTC)
markets, focusing specifically on standard and complex derivatives. The subjects covered …

Liquidity and credit risk

O Renault, J Ericsson - 2000 - ideas.repec.org
We develop a simple binomial model of liquidity and credit risk in which a bondholder has
the option to time the sale of his security, given a distribution of potential buyers, bids and …

[PDF][PDF] Pricing credit risk as ParAsian options with stochastic recovery rate of corporate bonds

L Yu - CiteSeerx digital library: http://citeseerx. ist. psu. edu …, 2003 - mx.nthu.edu.tw
Recovery rates are mostly treated as exogenous and constant in structural models.
However, this assumption generates a number of problems: default probability is …