The measurement of LGD - the share of an exposure that is actually lost when a borrower defaults - is a critical area of the science of credit analysis. Topics covered include: - Using multivariate models for the estimation of LGD - Exploring the links between LGD and default risk - Providing a Basel II compliant framework for LGD estimation - Full accounts of the latest developments in the field of LGD analysis - Includes a full summary of results of academic research in LGD measurement over the past 10 years, including the latest research findings from the main empirical and theoretical academics
Recovery Risk - The next Challenge in Credit Risk Management
RESTI, ANDREA CESARE;SIRONI, ANDREA
2005
Abstract
The measurement of LGD - the share of an exposure that is actually lost when a borrower defaults - is a critical area of the science of credit analysis. Topics covered include: - Using multivariate models for the estimation of LGD - Exploring the links between LGD and default risk - Providing a Basel II compliant framework for LGD estimation - Full accounts of the latest developments in the field of LGD analysis - Includes a full summary of results of academic research in LGD measurement over the past 10 years, including the latest research findings from the main empirical and theoretical academics
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