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Estimating LGD correlation
Witzany, Jiří - 2009
The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The … correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to … we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on …
Persistent link: https://www.econbiz.de/10010322333
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Survival analysis in LGD modeling
Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - In: European financial and accounting journal : EFAJ 7 (2012) 1, pp. 6-27
The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it allows exploiting partial recovery data. The model is...
Persistent link: https://www.econbiz.de/10011460080
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Unexpected recovery risk and LGD discount rate determination
Witzany, Jiří - In: European financial and accounting journal : EFAJ 4 (2009) 1, pp. 61-84
The Basle II parameter called Loss Given Default (LGD) aims to estimate the expected losses on not yet defaulted accounts in the case of default. Banks firstly need to collect historical recovery data, discount the recovery income and cost cash flow to the time of default, and calculate...
Persistent link: https://www.econbiz.de/10011459428
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Loss, default and loss given default modeling
Witzany, Jiří - 2009
The goal of the Basle II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss given default parameter. This simplification leads to a...
Persistent link: https://www.econbiz.de/10010322310
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Survival Analysis in LGD Modeling
Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - In: European Financial and Accounting Journal 7 (2012) 1, pp. 6-27
The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it allows exploiting partial recovery data. The model is...
Persistent link: https://www.econbiz.de/10010512898
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A Two Factor Model for PD and LGD Correlation
Witzany, Jiri - In: Bulletin of the Czech Econometric Society 18 (2011)
default (LGD) parameters, in particular their mutual correlation. We argue that the standard one factor models standing behind … the Basel II formula and used by a number of studies cannot capture well the correlation between PD and LGD on a large … correlation implied by the model slightly above 10%.</span></span></em><strong style="mso-bidi-font-weight: normal;"><span lang="EN-US"></span></strong> …
Persistent link: https://www.econbiz.de/10009643446
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Survival Analysis in LGD Modeling
Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - Institut ekonomických studií, Univerzita Karlova v Praze - 2010
The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it allows exploiting partial recovery data. The model is...
Persistent link: https://www.econbiz.de/10008522366
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Estimating LGD Correlation
Witzany, Jiří - Institut ekonomických studií, Univerzita Karlova v Praze - 2009
The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The … correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to … we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on …
Persistent link: https://www.econbiz.de/10005103162
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Survival Analysis in LGD Modeling
Witzany, Jiří; Rychnovský, Michal; Charamza, Pavel - In: European Financial and Accounting Journal 2012 (2012) 1, pp. 6-27
The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it allows exploiting partial recovery data. The model is...
Persistent link: https://www.econbiz.de/10011195393
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Unexpected Recovery Risk and LGD Discount Rate Determination
Witzany, Jiří - In: European Financial and Accounting Journal 4 (2009) 1, pp. 61-84
The Basle II parameter called Loss Given Default (LGD) aims to estimate the expected losses on not yet defaulted accounts in the case of default. Banks firstly need to collect historical recovery data, discount the recovery income and cost cash flow to the time of default, and calculate...
Persistent link: https://www.econbiz.de/10010512837