Loss Given Default: Estimating by analyzing the distribution of credit assets and Validation

Mustapha Ammari and Ghizlane Lakhnati

Journal of Finance and Investment Analysis, 2016, vol. 5, issue 2, 1

Abstract: The Basel II Accord offers banks the opportunity to estimate Loss Given Default (LGD) if they wish to calculate their own value for the capital required to cover credit losses in extreme circumstances. This paper will analyze the various methods of modeling LGD and will provide an alternative estimate of LGD using Merton's model for the valuation of assets. Four components will be developed in this document: estimation of the minimum value that could have a financial asset, estimation of the loss given default LGD, development of a practical component, and finally validation of the proposed model.

Date: 2016
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.scienpress.com/Upload/JFIA%2fVol%205_2_1.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spt:fininv:v:5:y:2016:i:2:f:5_2_1

Access Statistics for this article

More articles in Journal of Finance and Investment Analysis from SCIENPRESS Ltd
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().