Downturn LGD for Hong Kong mortgage loan portfolios
- Incisive Financial Publishing Limited
- Publication Type:
- Journal Article
- Journal of Risk Model Validation, 2008, 2 (4), pp. 3 - 11
- Issue Date:
Copyright Clearance Process
- Recently Added
- In Progress
- Closed Access
This item is closed access and not available.
Recent studies find a positive correlation between default and loss given default (LGD) rates for credit portfolios. In response, financial regulators require financial institutions to base their capital on the downturn loss rate given default, which is also known as downturn LGD. This paper compares alternative concepts for the downturn LGD of Hong Kong mortgage loan portfolios.
Please use this identifier to cite or link to this item: