Yang, Bill Huajian; Tkachenko, Mykola - Volkswirtschaftliche Fakultät, … - 2012
The Basel Accords have created the need to develop and implement models for PD, LGD and EAD. Although PD is quite well researched, LGD and EAD still lag both in theoretical and practical aspects. This paper proposes some empirical approaches for EAD/LGD modelling and provides technical insights...