Loss given default, a new alternative approach

Francesco D'Avanzo and Fabio Salis
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Francesco D'Avanzo: Cariparma-Crédit Agricole
Fabio Salis: Banco Popolare

BANCARIA, 2013, vol. 01, 76-84

Abstract: Objective of the analysis is to represent a new approach to estimate loss given default (Lgd) alternative to the existing estimation models, improving performance compliant in terms of regulation. The model proposed incorporates the empirically observed bimodality of the historical distribution of losses

JEL-codes: G21 G28 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:ban:bancar:v:1:y:2013:m:january:p:76-84

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