Chalupka, Radovan; Kopecsni, Juraj - In: Czech Journal of Economics and Finance (Finance a uver) 59 (2009) 4, pp. 360-382
Loss given default (LGD) is one of key parameters to estimate credit risk in an internal rating based approach considered in The New Basel Capital Accord. The aim of this paper is to find determinants of LGD using a set of firm loan micro-data of an anonymous Czech commercial bank. The authors...