Modelling LGD Using Survival Analysis
Loss Given Default (LGD) is one of the key parameters needed in order to estimate expected and unexpected credit losses necessary for credit pricing as well as for calculation of the regulatory Basel II requirement (BCBS, 2006). While the credit rating and probability of default (PD) techniques have...
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| Format: | Artigo |
| Sprog: | Inglês |
| Udgivet: |
Mashhad: Behzad Hassannezhad Kashani
2018-01-01
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| Serier: | International Journal of Management, Accounting and Economics |
| Fag: | |
| Online adgang: | https://www.ijmae.com/article_114722_cfd0c2e9c542d9aff33d926526ad063a.pdf |
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