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Ptak-Chmielewska et al., 2021 - Google Patents

Incorporating small-sample defaults history in loss given default models

Ptak-Chmielewska et al., 2021

Document ID
15923522172118219354
Author
Ptak-Chmielewska A
et al.
Publication year
Publication venue
Journal of Credit Risk

External Links

Snippet

This paper proposes a methodology for estimating loss given default (LGD) that accounts for small default sample sizes. Regulatory guidelines for estimating LGD state that it is essential to take into account all observed defaults from the selected time period. In many portfolios …
Continue reading at ideas.repec.org (other versions)

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