Credit Loss and Systematic LGD
by Jon Frye of the Federal Reserve Bank of Chicago, and
Abstract: This paper presents a model of systematic LGD that is simple and effective. It is simple in that it uses only parameters appearing in standard models. It is effective in that it survives statistical testing against more complicated models.
Published in: Journal of Credit Risk, Vol. 8, No. 1, (Spring 2012), pp. 109-140.