CREDIT LOSS AND SYSTEMATIC LGD

Jon Frye and Michael Jacobs
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Jon Frye: Federal Reserve Bank of Chicago, USA
Michael Jacobs: Office of the Comptroller of the Currency, USA

Chapter 11 in Managing and Measuring Risk:Emerging Global Standards and Regulations After the Financial Crisis, 2013, pp 307-339 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis chapter presents a model of systematic LGD that is simple and effective. It is simple in that it uses only parameters appearing in standard models. It is effective in that it survives statistical testing against more complicated models.

Keywords: Risk Management; Sovereign Risk; Systemic Risk; Liquidity; Credit Risk; Equity Risk Premium; Enterprise Risk Management (search for similar items in EconPapers)
Date: 2013
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