Downturn LGD for Hong Kong mortgage loan portfolios

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
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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.
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