Preface -- Acknowledgements -- Abbreviations -- Introduction to credit risk -- Credit rating models -- Approaches for measuring probability of default (PD) -- Exposure at default (EAD) and loss given default (LGD) -- Validation and stress testing of credit risk models -- Portfolio assessment of...

The main objective of this paper is to estimate a statistical model that incorporates Bank's credit recovery history at different levels: collateral, facility, industry, zone and the macro economy to predict the future Recovery Rates. This will enable the bank to arrive at the Loss Given Default...