Detail publikace

Implied Market Loss Given Default: structural-model approach

Autor: PhDr. Jakub Seidler Ph.D.,
Typ: IES Working Papers
Rok: 2008
Číslo: 26
Publikováno v: IES Working Papers 26/2008
Místo vydání: Prague
Klíčová slova: loss given default, credit risk, structural models
JEL kódy: C02, G13, G33
Citace: Seidler, J. (2008). “ Implied Market Loss Given Default: structural-model approach ” IES Working Paper 26/2008. IES FSV. Charles University.
Granty: GAUK 131707 - Modelling Loss Given Default for SME and corporate segment: the case of Czech banking system
Abstrakt: This paper 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. Further, we illustrate how the LGD can be extracted from market observable information with help of the adjusted Mertonian structural approach. We present a derivation of the formula for expected LGD and show its sensitivity analysis with respect to other structural parameters of the company. Finally, we estimate the 5-year expected LGDs for companies listed on Prague Stock Exchange and find out, that the average LGD for this analyzed sample is around 20%. To the author’s best knowledge, those are the first implied market estimates of LGD in the Czech Republic.
Ke stažení: WP 2008_26_Seidler


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