Implied market loss given default
This thesis focuses on the key credit risk parameter - Loss Given Default (LGD). We describe its general properties and determinants with respect to seniority of debt, characteristics of debtors or macroeconomic conditions, and discuss its role in Basel II framework. Further, we illustrate how the L...
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| Format: | Dissertation |
| Language: | English |
| Published: |
2008
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| Online Access: | http://www.nusl.cz/ntk/nusl-294972 |