This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Loss Given Default - Modelle zur Schätzung von Recovery Rates

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
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. --

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://econstor.eu/bitstream/10419/27862/1/577675605.PDF
File Format: application/pdf
File Function:
Download Restriction: no

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

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 2008
Date of revision:
Handle: RePEc:zbw:fsfmwp:96

Contact details of provider:
Web page: http://www.frankfurt-school.de/

For technical questions regarding this item, or to correct its listing, contact: (ZBW - German National Library for Economics).

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

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

Statistics
Access and download statistics

Did you know? Use the JEL tree to browse through the database by subfields.

This page was last updated on 2010-3-10.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.