Economics, Econometrics and Finance
7 years ago

New method revolutionizes estimating credit losses for banks worldwide!

DOAJ (DOAJ: Directory of Open Access Journals)
Loss Given Default: Estimating by the Conditional Minimum Value
Mustapha Ammari, Ghizlane Lakhnati

Paper Summary

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The article discusses how banks can estimate Loss Given Default (LGD) to calculate capital needed for credit losses. They use the Merton model and introduce a new parameter called the conditional minimum value. The goal is to improve LGD estimation for better risk management.