An Empirical Study of the Returns on Defaulted Debt and the Discount Rate for Loss-Given-Default
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منابع مشابه
An option theoretic model for ultimate loss-given-default with systematic recovery risk and stochastic returns on defaulted debt, October 2011
Loss-given-default (LGD), the loss severity on defaulted obligations, is a critical component of risk management, pricing and portfolio models of credit. This is among the three primary determinants of credit risk, the other two being the probability of default (PD) and exposure of default (EAD). However, LGD has not been as extensively studied, and is considered a much more daunting modeling c...
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