Loss given default measuring models in portfolio of standart loans
Keywords:
credit risk, recovery rate, loss given default, probability of default, distribution testing
Abstract
Classification of bad assets in a loan portfolio based on the bank future work strategy is introduced. It is displayed that introduced classification lets simplify distribution function for recovery rate after default.Downloads
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Published
2015-04-24
How to Cite
Гусятников, П. В. (2015). Loss given default measuring models in portfolio of standart loans. Modern Economics: Problems and Solutions, 9, 119-125. Retrieved from https://journals.vsu.ru/meps/article/view/4847
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