Stochastic modelling of the loss given default (LGD) for non-defaulted assets

Global Research & Analytics

Stochastic modelling of the loss given default (LGD) for non-defaulted assets

In the Basel framework of credit risk estimation, banks seek to develop precise and stable internal models to limit their capital charge.

Published by B. Genest

Article Global Research & Analytics - Stochastic modelling of the loss given default (LGD) for non-defaulted assets - 14 March 2019

View PDF
In this article : LGD Credit Risk Modelling GRA

Latest articles

Global Research & Analytics

White paper on Model Risk Management: How to measure and quantify model risk?

News and views
5 December 2019

The aim of this paper is to present model risk situations and a methodology to measure and quantify the associated risk at model level, with different types of assumptions.

Global Research & Analytics

White paper on Model Risk Management: How to measure and quantify model risk?

News and views
5 December 2019

The aim of this paper is to present model risk situations and a methodology to measure and quantify the associated risk at model level.

Global Research & Analytics

Global Research Analytics Booklet "Risk & modelling" - Third Edition

News and views
15 July 2019

After seven years of existence, the GRA team continues to explore the issues of risk quantification. This third booklet still demonstrates the perseverance of the GRA work and reflects ...

More related contents