-known positive relationship between probability of default (PD) and loss given default (LGD; i.e., the inverse of recovery) and their … counter-cyclical movement with the business cycle. In the absence of proper micro data on LGD, we use a random-sampling method … to estimate the annual average LGD. We specify a two equation model for PD and LGD which is estimated with Finnish time …

In estimating the downturn Lgd, financial intermediaries have to select the economic cycle on which investigating the …

capital leave the quanti¯cation of loss-given-default (LGD) parameter used for capital calculation unspeci¯ed. This paper … proposes a new methodology for incorporating LGD parameter explicitly into the Basel risk weight function. Numerical examples …

The aim of this paper is to propose a methodology to estimate loss given default (LGD) and apply it to a set of micro …-data of loans to SME and corporations of an anonymous commercial bank from Central Europe. LGD estimates are important inputs … requires internally estimates of LGD to calculate risk-weighted assets and to estimate expected loss. We analyse the recovery …

-modularised approach utilising three components: probability of default (PD), loss given default (LGD) and exposure at default (EAD). The … calculating the marginal recovery rates and resulting LGD, and lastly a methodology to calculate the EAD. These three components …

In capital budgeting, the internal rate of return (IRR) criterion and the net present value (NPV) criterion are …. The equivalence of the IRR and the NPV methods extends to the use of the ROE. An illustrative example is presented where … between the two alternative terminal positions may equivalently be expressed in terms of the system’s IRR or the system’s NPV …

how the ACB-MININD software links the main elements of Cost-Benefit analysis such as NPV or IRR with elements of the …