A realistic approach for estimating and modeling loss given default

Rakesh Malkani

Journal of Risk Model Validation

Abstract: ABSTRACT More often than not, commercial banks encounter problems in accurately determining the allowance for loan losses. This research paper explores the basic framework for modeling commercial loan loss given default given important considerations. Industry best practices based on the key hypothesis involving volatility of a firm's cashflows, capital structure, asset value and characteristics of the credit parameters have been used to arrive at a robust loss given default model.

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Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ5:2186754

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