A vast majority of Loss Given Default (LGD) models are currently in use. Over all the years since the new Capital …

Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125), we found that the loss function of … a sample of oil price forecasters is asymmetric in the forecast error. Our findings indicate that the loss oil price … forecasters incurred when their forecasts exceeded the price of oil tended to be larger than the loss they incurred when their …

The parameter loss given default (LGD) of loans plays a crucial role for risk-based decision making of banks including … estimates. -- Credit risk ; Bank loans ; Loss given default ; Forecasting …