riskparameters.eu
riskparameters.eu

LGD and CCF

  • Use exposure level prediction of workout LGD
    • For defaulted and non-defaulted exposures
  • Make overall or componentwise prediction
    • Collection/ collateral, revenue/cost
  • Evaluate various statistical modeling approaches
    • Linear and Non-Linear Regression
    • Regression Trees
    • Neural Networks
  • Use similar techniques for Credit Conversion Factor (CCF) modeling

 

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