Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/109883
Authors: 
Witzany, Jiří
Rychnovský, Michal
Charamza, Pavel
Year of Publication: 
2012
Citation: 
[Journal:] European Financial and Accounting Journal [ISSN:] 1805-4846 [Volume:] 7 [Year:] 2012 [Issue:] 1 [Pages:] 6-27
Abstract: 
The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it allows exploiting partial recovery data. The model is also modified in order to improve performance of the appropriate goodness of fit measures. The empirical testing shows that the Cox proportional model applied to LGD modeling performs better than the linear and logistic regressions. In addition a significant improvement is achieved with the modified “pseudo” Cox LGD model
Subjects: 
Regulatory capital
Recovery rate
Loss given default
Credit risk
Correlation
JEL: 
C14
G21
G28
Persistent Identifier of the first edition: 
Document Type: 
Article

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