Journal of Risk Model Validation
ISSN:
1753-9579 (print)
1753-9587 (online)
Editor-in-chief: Steve Satchell
Downturn LGD for Hong Kong mortgage loan portfolios
Daniel Rösch, Harald Scheule
Abstract
ABSTRACT
Recent studies find a positive correlation between default and loss given default (LGD) rates for credit portfolios. In response, financial regulators require financial institutions to base their capital on the "downturn" loss rate given default, which is also known as downturn LGD. This paper compares alternative concepts for the downturn LGD of Hong Kong mortgage loan portfolios.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net