This Chapter surveys the literature on the estimation of expected LGD and recovery risk, critically discussing the various ways it was dealt with under different approaches (structural models, reduced-form models, portfolio models) and highlighting avenues for future research.
Loss Given Default - A Review of the Literature
RESTI, ANDREA CESARE;SIRONI, ANDREA
2005
Abstract
This Chapter surveys the literature on the estimation of expected LGD and recovery risk, critically discussing the various ways it was dealt with under different approaches (structural models, reduced-form models, portfolio models) and highlighting avenues for future research.File in questo prodotto:
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