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LGD Modeling: Forward-Looking Insights by shweta mishra is a document available to read on EtoBox.
What is LGD Modeling: Forward-Looking Insights about?
This document discusses challenges in modeling lifetime loss given default (LGD) under IFRS 9 accounting standards. Specifically, it addresses how to incorporate forward-looking macroeconomic factors and account for different time horizons between workout periods and macroeconomic indicators. The author proposes modeling dependency of workout efficiency on macroeconomic variables and considering two basic workout scenarios, but notes it is difficult to find an appropriate solution due to limitations of the
- Author
- shweta mishra
- Language
- EN