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Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation

Betz, Jennifer ; Kellner, Ralf ; Rösch, Daniel


Banks are obliged to provide downturn estimates for loss given defaults (LGDs) in the internal ratings-based approach. While downturn conditions are characterized by systematically higher LGDs, it is unclear which factors may best capture these conditions. As LGDs depend on recovery payments which are collected during varying economic conditions in the resolution process, it is challenging to ...


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