Recovery Risk: The Next Challenge in Credit Risk Management
Автор:Edited by Edward Altman, Andrea Resti, Andrea Sironi Год: 2005 Издание:Risk Books Страниц: 364 ISBN: 1904339506 In this ground-breaking new title, Risk Books unite three prominent editors to provide a much-needed 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 field of LGD analysis. Also 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.
