Work

Modelling LGD Using Survival Analysis

Year: 2025

Type: article

Abstract: Loss Given Default (LGD) is one of the key parameters needed in order to estimate expected and unexpected credit losses necessary for credit pricing as well as for calculation of the regulatory Basel II requirement (BCBS, 2006). While the credit rating and probability of default (PD) techniques have been well developed in recent decades, LGD has attracted little attention before 2000s.In this paper, We compare linear regression and survival analysis models for modelling recovery rates and recovery amounts, in order to predict the LGD for unsecured consumer loans or credit cards.

Source: International Journal of Management, Accounting and Economics

DOI: 10.5281/zenodo.17540676

Author: Alsarray, Rusul

Institution: Ferdowsi University of Mashhad

Language: English

Topic: Credit Risk and Financial Regulations

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W7104288251

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