Downturn LGD for Hong Kong mortgage loan portfolios

Daniel Roesch and Harald Scheule
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Daniel Roesch: University of Regensburg

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: Recent studies find a positive correlation between default and loss given default (LGD) rates for credit portfolios. In response, financial regulators require financial institutions to base their capital on the downturn loss rate given default, which is also known as downturn LGD. This paper compares alternative concepts for the downturn LGD of Hong Kong mortgage loan portfolios.

Pages: 9 pages
Date: 2008-01-01
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Published as: Roesch, D. and Scheule, H., 2008, "Downturn LGD for Hong Kong mortgage loan portfolios", Journal of Risk Model Validation, 2(4), 3-11.

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