Modelling LGD Using Survival Analysis

Rusul Alsarray

Volume 5, Issue 1 , January 2018, , Pages 28-42

  Loss Given Default (LGD) is one of the key parameters needed in order to estimate expected and unexpected credit losses necessary for credit pricing as well as for calculation of the regulatory Basel II requirement (BCBS, 2006). While the credit rating and probability of default (PD) techniques have ...  Read More