Economics at your fingertips  

Loss Given Default: um estudo sobre perdas em operações prefixadas no mercado brasileiro

Antonio Silva, Jaqueline Marins and Myrian Neves ()

No 193, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: Using data drawn from the Brazilian Central Bank Credit Information System (SCR), this paper investigates the loss incurred by financial institutions given clients defaults - Loss Given Default (LGD) - in Brazilian credit market from January 2003 to September 2007. According to Basel II, it is necessary to calculate LGD to evaluate credit risk in IRB Advanced approach. Selecting a sample of 9.557 non-retail credit operations, we calculate their LGD based on the opportunity cost incurred during the default period and on the principal loss. Other recovery costs were not taken into account. According to the results, the empirical probability distribution of LGD is bimodal, ranging on average between 47% and 92%. Using a Tobit model, we verified that variables related to economic activity level, collateral, exposure size and renegotiation influenced LGD behavior. Results were similar to Dermine and Carvalho (2006), Asarnow and Edwards (1995), Schuermann (2004) and Hurt and Felsovalyi (1998).

Date: 2009-09
New Economics Papers: this item is included in nep-ban and nep-rmg
References: Add references at CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link) (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:

Access Statistics for this paper

More papers in Working Papers Series from Central Bank of Brazil, Research Department
Bibliographic data for series maintained by Rodrigo Barbone Gonzalez ().

Page updated 2023-08-17
Handle: RePEc:bcb:wpaper:193