In this ground-breaking new title, Risk Books brings together three prominent editors to provide a timely reference text on loss given default (LGD) measurement and management and the requirements of the Basel II Capital Accord.
The measurement of LGD-- the share of an exposure that is actually lost when a borrower defaults -- is a critical area of the science of credit analysis. Topics covered include:
Using multivariate models for the estimation of LGD
Exploring the links between LGD and default risk
Providing a Basel II compliant framework for LGD estimation
Helping you to transform research results into operational tools for setting up Basel II compliant rating systems
Full accounts of the latest developments in the fieldof LGD analysis
Includes a full summary of results of academic research in LGD measurement over the past 10 years, including the latest research findings from the main empirical and theoretical academics.
