CREDIT PORTFOLIO RISK: Modelling and estimating dependent loss given default - The author proposes a portfolio credit risk model with dependent loss given default (LGD), offering a reasonable economic interpretation that is easily applicable to real data. He builds a precise mathematical framework, and stresses some important issues to consider when modeling dependent LGD.
| Year of publication: |
2006
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| Authors: | Hillebrand, Martin |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 19.2006, 9, p. 120-125
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