0
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Lgd Model Jacobs 10 10 V2[1]
Upcoming SlideShare
Loading in...5
×

Lgd Model Jacobs 10 10 V2[1]

409

Published on

Structural model for loss-given-default, derive compound option formulae , and calibrate to moody\'s defaulted bonds and loans.

0 Comments
1 Like
Statistics
Notes
  • Be the first to comment

No Downloads
Views
Total Views
409
On Slideshare
0
From Embeds
0
Number of Embeds
1
Actions
Shares
0
Downloads
14
Comments
0
Likes
1
Embeds 0
No embeds

No notes for slide
  • LGD @ default approach does not address the discount ate question – “implicit discounting”
  • Broad definition of default (“quasi-Basel” according to Moody’s) Exceptions: trade payables & other off-balance sheet obligations debt type, seniority ranking, debt above / below, collateral type Obligor / Capital Structure: industry, proportion bank / secured debt, number of creditor classes / number instruments Defaults: amounts (EAD, AI), default type, coupon, dates / durations Recovery / LGD measures: prices of pre-petition (or received in settlement) instruments at emergence or restructuring Sub-set: prices of traded debt at around default (30-45 day avg.)
  • Many OC’s had restructuring dates very near or after default trading dates
    1. A particular slide catching your eye?

      Clipping is a handy way to collect important slides you want to go back to later.

    ×