16. Default Recovery Rates and LGD in Credit Risk Modeling and Practice

  1. John B. Caouette,
  2. Edward I. Altman,
  3. Paul Narayanan and
  4. Robert Nimmo

Published Online: 29 NOV 2011

DOI: 10.1002/9781118266236.ch16

Managing Credit Risk: The Great Challenge for the Global Financial Markets, Second Edition

Managing Credit Risk: The Great Challenge for the Global Financial Markets, Second Edition

How to Cite

Caouette, J. B., Altman, E. I., Narayanan, P. and Nimmo, R. (2008) Default Recovery Rates and LGD in Credit Risk Modeling and Practice, in Managing Credit Risk: The Great Challenge for the Global Financial Markets, Second Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118266236.ch16

Publication History

  1. Published Online: 29 NOV 2011
  2. Published Print: 2 MAY 2008

ISBN Information

Print ISBN: 9780470118726

Online ISBN: 9781118266236

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Keywords:

  • default recovery rates;
  • credit risk modeling;
  • loss given default;
  • credit pricing models;
  • value-at-risk (VaR) models

Summary

This chapter contains sections titled:

  • Introduction

  • First Generation Structural-Form Models: The Merton Approach

  • Second Generation Structural-Form Models

  • Reduced-Form Models

  • Credit Value-At-Risk Models

  • Recent Contributions on the PD-RR Relationship and Their Impact

  • Correlation Results' Impact and Downturn LGD

  • Some Final References

  • Recovery Ratings

  • Recovery Rates and Procyclicality

  • Further Empirical Evidence

  • Concluding Remarks