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Loss Given Default - Modelle zur Schätzung von Recovery Rates

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  • Böttger, Marc
  • Guthoff, Anja
  • Heidorn, Thomas

Abstract

Loss Given Default (LGD) is a major element for pricing credits and bonds. As there has been a substantial amount of research during the last years, this paper aims to give an overview. Initially, defaults and recovery definitions for credits and the differences to bonds are discussed. A survey of the empirical literature is given, finding average recovery rates for credits between 40% and 87% and lower rates for bonds. A survey of the literature on the influences on LGD showed 17 parameters. Based on these studies we suggest 6 parameters for LGD estimation. Finally an overview of LGD models is given including Standard & Poors and Moody´s KMV. --

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Bibliographic Info

Paper provided by Frankfurt School of Finance and Management in its series Frankfurt School - Working Paper Series with number 96.

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Date of creation: 2008
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Handle: RePEc:zbw:fsfmwp:96

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Keywords: Loss given default; LGD; recovery; Ausfallschätzung;

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Cited by:
  1. Herrmann-Pillath, Carsten, 2011. "Revisiting the Gaia hypothesis: Maximum Entropy, Kauffman's 'Fourth Law' and physiosemeiosis," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 160, Frankfurt School of Finance and Management.
  2. Yu, Xiaofan, 2011. "A spatial interpretation of the persistency of China's provincial inequality," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 171, Frankfurt School of Finance and Management.
  3. Beyna, Ingo & Wystup, Uwe, 2010. "On the calibration of the Cheyette interest rate model," CPQF Working Paper Series 25, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
  4. Roßbach, Peter & Karlow, Denis, 2011. "The stability of traditional measures of index tracking quality," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 164, Frankfurt School of Finance and Management.
  5. Wystup, Uwe, 2008. "Vanna-volga pricing," CPQF Working Paper Series 11, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
  6. Heimer, Thomas & Hölscher, Luise & Werner, Matthias Ralf, 2008. "Access to finance and venture capital for industrial SMEs," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 97, Frankfurt School of Finance and Management.
  7. Herrmann-Pillath, Carsten, 2009. "Social capital, Chinese style: individualism, relational collectivism and the cultural embeddedness of the institutions-performance link," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 132, Frankfurt School of Finance and Management.
  8. Heimer, Thomas & Arend, Sebastian, 2008. "The genesis of the Black-Scholes option pricing formula," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 98, Frankfurt School of Finance and Management.
  9. Böger, Andreas & Heidorn, Thomas & Rupprecht, Stephan, 2009. "Einführung in das Kapitalstrukturmanagement," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 121, Frankfurt School of Finance and Management.
  10. Boeing, Philipp & Sandner, Philipp, 2011. "The innovative performance of China's national innovation system," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 158, Frankfurt School of Finance and Management.

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