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Scheda pubblicazione

IdentificativoSchuermann04,
Tipo di record
Autore/iSchuermann T
Anno2004
TitoloWhat Do We Know About Loss Given Default?
paper
Altre InformazioniFederal Reserve Bank of New York, New York, February Web Download.
Keywords separare key1:key2
Abstract Forthcoming in D. Shimko (ed.), Credit Risk Models and Management 2nd Edition, London, UK: Risk Books.
The New Basel Accord will allow internationally active banking organizations to calculate their credit risk capital requirements using an internal ratings based (IRB) approach, subject to supervisory review. One of the modeling components is loss given default (LGD), the credit loss incurred if an obligor of the bank defaults. The flexibility to determine LGD values tailored to a bank’s portfolio will likely be a motivation for a bank to want to move from the foundation to the advanced IRB approach. The appropriate degree of flexibility depends, of course, on what a bank knows about LGD broadly and about differentiated LGDs in particular; consequently supervisors must be able to evaluate what a bank knows. The key issues around LGD are: 1) What does LGD mean and what is its role in IRB? 2) How is LGD defined and measured? 3) What drives differences in LGD? 4) What approaches can be taken to model or estimate LGD? By surveying the academic and practitioner literature, with supportive examples and illustrations from public data sources, this paper is designed to provides basic answers to these questions. The factors which drive significant differences in LGD include place in the capital structure, presence and quality of collateral, industry and timing of the business cycle.
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