Calabrese, Raffaella - In: European Journal of Operational Research 237 (2014) 1, pp. 271-277
The internal estimates of Loss Given Default (LGD) must reflect economic downturn conditions, thus estimating the “downturn LGD”, as the new Basel Capital Accord Basel II establishes. We suggest a methodology to estimate the downturn LGD distribution to overcome the arbitrariness of the...