Seidler, Jakub; Jakubík, Petr - In: Czech Journal of Economics and Finance (Finance a uver) 59 (2009) 1, pp. 20-40
This paper focuses on the key credit risk parameter – Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors and macroeconomic conditions. Furthermore, we illustrate how the LGD can be extracted from market...