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Title:Loss Given Default - Modelle zur Schätzung von Recovery Rates PDF Logo
Authors:Böttger, Marc
Guthoff, Anja
Heidorn, Thomas
Issue Date:2008
Series/Report no.:Working paper series // Frankfurt School of Finance & Management 96
Abstract:Loss Given Default (LGD) is a major element for pricing credits and bonds. As there has been a substantial amount of research during the last years, this paper aims to give an overview. Initially, defaults and recovery definitions for credits and the differences to bonds are discussed. A survey of the empirical literature is given, finding average recovery rates for credits between 40% and 87% and lower rates for bonds. A survey of the literature on the influences on LGD showed 17 parameters. Based on these studies we suggest 6 parameters for LGD estimation. Finally an overview of LGD models is given including Standard & Poors and Moody´s KMV.
Subjects:Loss given default
LGD
recovery
Ausfallschätzung
JEL:G11
G15
G24
Persistent Identifier of the first edition:urn:nbn:de:101:1-2008090121
Document Type:Working Paper
Appears in Collections:Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

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