Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher
Credit loss and systematic loss given default
Jon Frye and Michael Jacobs Jr.
Abstract
ABSTRACT
This paper presents a simple and effective model of systematic loss given default. It is simple in that it uses only parameters appearing in standard models. It is effective in that it survives statistical testing against more complicated models.
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