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Konstantin Belyaev

15 March 2017
WORKING PAPER SERIES - No. 2037
The time dimension of the links between loss given default and the macroeconomy
English
Details
Abstract
Most studies focusing on the determinants of loss given default (LGD) have largely ignored possible lagged effects of the macroeconomy on LGD. We fill this gap by employing a wide set of macroeconomic covariates on a retail portfolio that represents 15% of the Czech consumer credit market over the period 2002
JEL Code
C02 : Mathematical and Quantitative Methods→General→Mathematical Methods
G13 : Financial Economics→General Financial Markets→Contingent Pricing, Futures Pricing
G33 : Financial Economics→Corporate Finance and Governance→Bankruptcy, Liquidation