When estimating Loss Given Default (LGD) parameters using a workout approach, i.e. discounting cash flows over the workout period, the problem arises of how to take into account partial recoveries from incomplete work-outs. The simplest approach would see LGD based on complete recovery profiles...

Have post-crisis reforms purged mortgage markets of adverse selection? I show that loans synthetically sold by Fannie Mae through Credit Risk Transfers are ex post riskier, controlling for observable quality, than those they keep on balance. Transfers that go unreported on public data are...

When estimating Loss Given Default (LGD) parameters using a workout approach, i.e. discounting cash flows over the workout period, the problem arises of how to take into account partial recoveries from incomplete work-outs. The simplest approach would see LGD based on complete recovery profiles...