Metzler, Adam; Scott, Alexandre - In: Risks : open access journal 8 (2020) 1/25, pp. 1-36
to as PD-LGD correlation (here PD refers to probability of default, which is often used synonymously with default rate …). There is a large literature on modelling stochastic LGD and PD-LGD correlation, but there is a dearth of literature on using … deviation probabilities across a wide variety of PD-LGD correlation models that have been proposed in the literature. …
