Gapko, Petr; Smid, Martin - In: Czech Journal of Economics and Finance (Finance a uver) 62 (2012) 2, pp. 125-140
loss given default. Their methodology is based on the KMV model, which they generalize in three ways. First, they add a … model for loss given default (LGD), second, they bring dynamics to the model, and third, they allow non-normal distributions …