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Credit Portfolio Loss Forecasts for Economic Downturns

Rösch, Daniel and Scheule, Harald (2009) Credit Portfolio Loss Forecasts for Economic Downturns. Financial Markets, Institutions and Instruments 18 (1), pp. 1-26.

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Abstract

Recent studies find a positive correlation between default and loss given default rates of credit portfolios. In response, financial regulators require financial institutions to base their capital on ‘Downturn’ loss rates given default which are also known as Downturn LGDs. This article proposes a concept for the Downturn LGD which incorporates econometric properties of credit risk as well as the ...

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Item type:Article
Date:2009
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch)
Identification Number:
ValueType
10.1111/j.1468-0416.2008.00145.xDOI
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:No
Item ID:28314
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