Distribution Modeling of LGD: Fitting Distribution Method

摘要：

Based on the New Basel Accord(Basel Ⅱ) and IRB approach, this paper analyses one of the most important parameters-Loss Given Default(LGD), including its determining factors, such as macro factors and micro factors. Also, a new method named the fitting distribution method is provided. It is used to modeling the distribution of LGD.

关键词： the New Basel Accord Internal rating-based Loss given default

作者: Cui Jie Shen Peilong

作者单位: Faculty of Finance & Banking, Shanxi University of Finance and Economics, P.R.China, 030006

会议类型: 国际会议

会议名称: 第六届管理学国际会议(Proceedings of ICM2007 the 6th International on Management)

会议地点: 武汉

会议语种:英文

页码: 685-689

在线出版日期: 2007-08-03（万方平台首次上网日期，不代表论文的发表时间）