Baixauli, J. Samuel; Alvarez, Susana - In: Journal of Risk Finance 10 (2009) March, pp. 131-141
Purpose – The purpose of this paper is to critically analyze the common assumption, made by many credit risk models such as the Moody's KMV Loss-Calc model, of a ß distribution for the loss-given default (LGD). The paper shows that this assumption does not perform well in constructing...