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Scheule et al., 2020 - Google Patents

Benchmarking LGD discount rates

Scheule et al., 2020

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Document ID
3717400118876287902
Author
Scheule H
Jortzik S
Publication year
Publication venue
Available at SSRN 3673120

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Snippet

This paper provides a theoretical and empirical analysis of alternative discount rate concepts for computing LGDs using historical bank workout data. It benchmarks five discount rate concepts for workout recovery cash flows to derive observed Loss rates Given …
Continue reading at papers.ssrn.com (PDF) (other versions)

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