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Survival analysis in LGD modeling
Witzany, Jiří; Rychnovský, Michael; Charamza, Pavel - 2010
allows exploiting partial recovery data. The model is also modified in order to improve performance of the appropriate …
Persistent link: https://www.econbiz.de/10010322331
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Estimating LGD correlation
Witzany, Jiří - 2009
The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to stress the LGD parameter as well as to estimate the LGD...
Persistent link: https://www.econbiz.de/10010322333
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Unexpected Recovery Risk and LGD Discount Rate Determination
Witzany, Jiří - In: European Financial and Accounting Journal 4 (2009) 1, pp. 61-84
accounts in the case of default. Banks firstly need to collect historical recovery data, discount the recovery income and cost … cash flow to the time of default, and calculate historical recovery rates and LGDs. One of the puzzling tasks is to …, recovery risk and a cost of the risk. …
Persistent link: https://www.econbiz.de/10010512837
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Survival Analysis in LGD Modeling
Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - In: European Financial and Accounting Journal 7 (2012) 1, pp. 6-27
allows exploiting partial recovery data. The model is also modified in order to improve performance of the appropriate …
Persistent link: https://www.econbiz.de/10010512898
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Unexpected recovery risk and LGD discount rate determination
Witzany, Jiří - In: European financial and accounting journal : EFAJ 4 (2009) 1, pp. 61-84
accounts in the case of default. Banks firstly need to collect historical recovery data, discount the recovery income and cost … cash flow to the time of default, and calculate historical recovery rates and LGDs. One of the puzzling tasks is to …, recovery risk and a cost of the risk. …
Persistent link: https://www.econbiz.de/10011459428
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Survival analysis in LGD modeling
Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - In: European financial and accounting journal : EFAJ 7 (2012) 1, pp. 6-27
allows exploiting partial recovery data. The model is also modified in order to improve performance of the appropriate …
Persistent link: https://www.econbiz.de/10011460080
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Survival Analysis in LGD Modeling
Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - Institut ekonomických studií, Univerzita Karlova v Praze - 2010
allows exploiting partial recovery data. The model is also modified in order to improve performance of the appropriate …
Persistent link: https://www.econbiz.de/10008522366
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Estimating LGD Correlation
Witzany, Jiří - Institut ekonomických studií, Univerzita Karlova v Praze - 2009
The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to stress the LGD parameter as well as to estimate the LGD...
Persistent link: https://www.econbiz.de/10005103162
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Survival Analysis in LGD Modeling
Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - In: European Financial and Accounting Journal 2012 (2012) 1, pp. 6-27
allows exploiting partial recovery data. The model is also modified in order to improve performance of the appropriate …
Persistent link: https://www.econbiz.de/10011195393
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Unexpected Recovery Risk and LGD Discount Rate Determination
Witzany, Jiří - In: European Financial and Accounting Journal 2009 (2009) 1, pp. 61-84
accounts in the case of default. Banks firstly need to collect historical recovery data, discount the recovery income and cost … cash flow to the time of default, and calculate historical recovery rates and LGDs. One of the puzzling tasks is to …, recovery risk and a cost of the risk. …
Persistent link: https://www.econbiz.de/10011195396