Journal of
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Archive » January 2013 » Loss given default, a new alternative approach

Loss given default, a new alternative approach

Francesco D'Avanzo, Fabio Salis
January 2013 - n°1
Jel codes: G21, G28

Objective of the analysis is to represent a new approach to estimate loss given default (Lgd) alternative to the existing estimation models, improving performance compliant in terms of regulation. The model proposed incorporates the empirically observed bimodality of the historical distribution of losses

 

 

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