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Estimating LGD for Collateralized Loans by vicientnguyen.work is a document available to read on EtoBox.
This article presents a model for estimating Loss Given Default (LGD) in the retail sector, focusing on small to mid-size loans secured by residential or commercial property. It emphasizes the use of an exponential Ornstein-Uhlenbeck process to account for the stochastic nature of collateral, while also addressing loan ranking and liquidation costs. The model aims to simplify LGD estimation and enhance its practical applicability for banks, diverging from traditional complex methodologies.
- Author
- vicientnguyen.work
- Language
- EN