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A realistic approach for estimating and modeling loss given default

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  • Rakesh Malkani

Abstract

ABSTRACT More often than not, commercial banks encounter problems in accurately determining the allowance for loan losses. This research paper explores the basic framework for modeling commercial loan loss given default given important considerations. Industry best practices based on the key hypothesis involving volatility of a firm's cashflows, capital structure, asset value and characteristics of the credit parameters have been used to arrive at a robust loss given default model.

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  • Rakesh Malkani, . "A realistic approach for estimating and modeling loss given default," Journal of Risk Model Validation, Journal of Risk Model Validation.
    • Handle: RePEc:rsk:journ5:2186754
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