Loss Given Default - Modelle zur Schätzung von Recovery Rates
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.
|Date of creation:||2008|
|Contact details of provider:|| Postal: Sonnemannstraße 9-11, 60314 Frankfurt am Main|
Phone: 069 154008-0
Web page: http://www.frankfurt-school.de/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:zbw:fsfmwp:96. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.