Modeling Severity Risk under PD-LGD Correlation
(2016)
Journal Article
Han, C. (2017). Modeling Severity Risk under PD-LGD Correlation. European Journal of Finance, 23(15), 1572-1588. https://doi.org/10.1080/1351847x.2016.1212385
In this article, a generic severity risk framework in which loss given default (LGD) is dependent upon probability of default (PD) in an intuitive manner is developed. By modeling the conditional mean of LGD as a function of PD, which also varies wit... Read More about Modeling Severity Risk under PD-LGD Correlation.