Downturn LGD for Hong Kong mortgage loan portfolios

Roesch, D; Scheule, H

Downturn LGD for Hong Kong mortgage loan portfolios

Roesch, D Scheule, H

Permalink

Publisher:: Incisive Financial Publishing Limited
Publication Type:: Journal Article
Citation:: Journal of Risk Model Validation, 2008, 2 (4), pp. 3 - 11
Issue Date:: 2008-01

Closed Access

	Filename	Description	Size
	2012006453OK.pdf		105.06 kB		View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Roesch, D	en_US
dc.contributor.author	Scheule, H https://orcid.org/0000-0001-7283-5654	en_US
dc.date.issued	2008-01	en_US
dc.identifier.citation	Journal of Risk Model Validation, 2008, 2 (4), pp. 3 - 11	en_US
dc.identifier.issn	1753-9579	en_US
dc.identifier.uri	http://hdl.handle.net/10453/115663
dc.description.abstract	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.	en_US
dc.publisher	Incisive Financial Publishing Limited	en_US
dc.relation.ispartof	Journal of Risk Model Validation	en_US
dc.title	Downturn LGD for Hong Kong mortgage loan portfolios	en_US
dc.type	Journal Article
utslib.citation.volume	4	en_US
utslib.citation.volume	2	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.consider-herdc	false	en_US
pubs.issue	4	en_US
pubs.publication-status	Published	en_US
pubs.volume	2	en_US

Abstract:

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:

http://hdl.handle.net/10453/29188