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A Copula Sample Selection Model for Predicting Multi-Year LGDs and Lifetime Expected Losses

Krüger, Steffen ; Oehme, Toni ; Rösch, Daniel ; Scheule, Harald



Abstract

Recent credit risk literature has proposed (i) sample selection models for dependencies between the one-year Probability of Default (PD) and Loss Given Default (LGD), and (ii) multi-year approaches which are limited to default risk. This paper provides a model for the simultaneous prediction of continuous default times and multi-year LGDs. These measures are paramount to predict term structures ...

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