Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27862
Authors: 
Böttger, Marc
Guthoff, Anja
Heidorn, Thomas
Year of Publication: 
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: 
Document Type: 
Working Paper

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