Article ID Journal Published Year Pages File Type
5089243 Journal of Banking & Finance 2013 13 Pages PDF
Abstract
► Appropriate constraining the modeling data set leads to consistent LGD estimates. ► Separation of write-offs and recoveries increases predictive power in LGD forecasts. ► Consideration of the default status is required for consistent LGD forecasts. ► 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
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