Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/27862 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
Frankfurt School - Working Paper Series No. 96
Verlag: 
Frankfurt School of Finance & Management, Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Loss given default
LGD
recovery
Ausfallschätzung
JEL: 
G11
G15
G24
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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