by Michael Dhaenens | Jan 31, 2014
by Nina Brumma | Jan 31, 2014
by Michael Dhaenens | Jan 31, 2013
Description: Using both PD and default rate data collected from member banks in 2013, this paper examines cyclicality, averages, prediction vs outcome, accuracy rates and correlations. The working group was chaired by Michel van Beest of NIBC and assisted by Jeroen...
by Nina Brumma | Jan 31, 2013
Description:This report shows an excerpt of the analyses performed by PECDC’s downturn LGD working group. This working group was initiated in 2011 in order to investigate downturn effects on loss-given default (LGD) values based on PECDC’s large-scale LGD...
