Witzany, Jiří - Institut ekonomických studií, Univerzita Karlova v Praze - 2009
The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The …-year LGD quantiles on any reasonable probability level.
Keywords: credit risk, recovery rate, loss given default … follows: We assume that
account level identically distributed loss given default rate
j
LGD are normalized (see also
Gupton …