The introduction of the Basel II Accord has had a huge impact on financial institutions, allowing them to build credit risk models for three key risk parameters: PD (probability of default), LGD (loss given default) and EAD (exposure at default). Until recently, credit risk research has focused...

With the implementation of the Basel II regulatory framework, it became increasingly important for financial institutions to develop accurate loss models. This work investigates the loss given default (LGD) of mortgage loans using a large set of recovery data of residential mortgage defaults...

The Internal Ratings Based (IRB) approach introduced in the Basel II Accord requires financial institutions to estimate not just the probability of default, but also the Loss Given Default (LGD), i.e., the proportion of the outstanding loan that will be lost in the event of a default. However,...