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Credit Loss and Systematic LGD

by Jon Frye of the Federal Reserve Bank of Chicago, and
Michael Jacobs, Jr. of the Office of the Comptroller of the Currency

Spring 2012

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.

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