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Document type:
Zeitschriftenaufsatz 
Author(s):
Hillebrand, M. 
Title:
Modeling and estimating dependent loss given default 
Abstract:
We propose a portfolio credit risk model with dependent loss given default (LGD) which allows for a reasonable economic interpretation and can easily be applied to real data. We build up a precise mathematical framework and stress some general important issues when modeling dependent LGD. Finally, we calibrate the model based on American bond data from 1982 to 2001 and compare the results with recently published alternative models. 
Journal title:
Risk 
Year:
2006 
Journal issue:
September 2006 
Reviewed:
ja 
Language:
en 
Notes:
Preprint 
Status:
Preprint / submitted 
Semester:
SS 06 
Format:
Text