Downturn LGD Study 2017

Document

Author: 
Nina Brumma (GCD) / Markus Seifert (d-fine)
Topics: 
LGD modelling for regulatory capital
Downturn LGD
Specific portfolios in credit risk modelling
Large Corporates
Banks & Non Bank Financial Institutions
Description: 

Does loss given default (LGD) depend on the economic cycle and if so how can it be measured? This question still concerns risk modellers and regulators as part of their comprehensive risk assessment. In 2013 GCD published a first downturn LGD study based on the GCD large-scale LGD database. This report provides an update of the analyses presented back then on a now significantly enlarged data set provided by over 50 member banks and covering over 15 years of default history.

File Type: 
GCD publications
File: 
Publication Year: 
2017
Groups audience: 
Workflow status: 
Final
Group content visibility: 
Use group defaults
Short Description: 
Does loss given default (LGD) depend on the economic cycle and if so how can it be measured?