With bank loans, both loss given default (LGD) and time to recovery following a default may vary significantly based on many factors, including, but not limited to, the obligor’s characteristics, ...
The first issue of this, the eighth volume, of The Journal of Risk Model Validation contains four papers. The first, "A statistical repertoire for quantitative loss given default validation: overview, ...
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 important determinant of LGD.
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