Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089243 | Journal of Banking & Finance | 2013 | 13 Pages |
Abstract
⺠Appropriate constraining the modeling data set leads to consistent LGD estimates. ⺠Separation of write-offs and recoveries increases predictive power in LGD forecasts. ⺠Consideration of the default status is required for consistent LGD forecasts. ⺠All theoretical results are empirically confirmed on the basis of 69,985 bank loans.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Marc Gürtler, Martin Hibbeln,