This paper extends what we know about loss given default (LGD) on commercial loans by studying certain types of these loans that have been excluded from previous research but that may be more representative of loans held by small and mid-sized banks. We use a newly available dataset on...

This paper extends what we know about loss given default (LGD) by examining a newly available dataset on commercial real estate (CRE) loan losses. These data come from 295 failed banks resolved by the FDIC using loss-share agreements between 2008 and 2013. We examine over 14,000 distressed CRE...

We investigate the puzzle in the literature that various parametric loss given default (LGD) statistical models perform similarly by comparing their performance in a simulation framework. We find that, even using the full set of explanatory variables from the assumed data generating process,...