Implied Market Loss Given Default in the Czech Republic: structural-model approach
| Autor: | doc. PhDr. Ing. Ing. Petr Jakubík Ph.D. Ph.D., PhDr. Jakub Seidler Ph.D., |
|---|---|
| Typ: | Články v impaktovaných časopisech |
| Rok: | 2009 |
| Číslo: | 0 |
| ISSN / ISBN: | |
| Publikováno v: | Czech Journal of Economics and Finance, Vol. 59, No. 1 |
| Místo vydání: | |
| Klíčová slova: | loss given default, credit risk, structural models |
| JEL kódy: | |
| Citace: | Seidler, J., Jakubík, P. (2009): Implied Market Loss Given Default in the Czech Republic: structural-model approach, Czech Journal of Economics and Finance, Vol. 59, No. 1, pp. 20–40. |
| Granty: | GAUK 2009/47509 Decomposition of securities' market prices into risk parameters Výzkumný záměr IES (2005-2011) Integrace české ekonomiky do Evropské unie a její rozvoj |
| 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 illus-trate 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 ex-pected 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. |
