Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83464
Authors: 
Witzany, Jiří
Rychnovský, Michael
Charamza, Pavel
Year of Publication: 
2010
Series/Report no.: 
IES Working Paper 2/2010
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: 
credit risk
recovery rate
loss given default
correlation
regulatory capital
JEL: 
G21
G28
C14
Document Type: 
Working Paper
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