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http://hdl.handle.net/10419/27862
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| Title: | | Loss Given Default - Modelle zur Schätzung von Recovery Rates  |
| 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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