The time dimension of the links between loss given default and the macroeconomy

Jakub Seidler, Tomas Konecny, Aelita Belyaeva and Konstantin Belyaev

No 2037, Working Paper Series from European Central Bank

Abstract: Most studies focusing on the determinants of loss given default (LGD) have largely ignored possible lagged effects of the macroeconomy on LGD. We fill this gap by employing a wide set of macroeconomic covariates on a retail portfolio that represents 15% of the Czech consumer credit market over the period 2002 JEL Classification: C02, G13, G33

Keywords: Credit losses; loss given default; recovery rates; workout LGD (search for similar items in EconPapers)
Date: 2017-03
New Economics Papers: this item is included in nep-tra
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Journal Article: The Time Dimension of the Links Between Loss Given Default and the Macroeconomy (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20172037

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