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- Title:
Modeling and estimating dependent loss given default
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Hillebrand, M.
- 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
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