risk models for three key risk parameters: PD (probability of default), LGD (loss given default) and EAD (exposure at … much less on LGD modeling. In this first large-scale LGD benchmarking study, various regression techniques for modeling and … predicting LGD are investigated. These include one-stage models, such as those built by ordinary least squares regression, beta …

not just the probability of default, but also the Loss Given Default (LGD), i.e., the proportion of the outstanding loan … that will be lost in the event of a default. However, modelling LGD poses substantial challenges. One of the key problems … in building regression models for estimating the loan-level LGD in retail portfolios such as mortgage loans relates to …

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 …