Bank-Loan Loss Given Default

By Greg M. Gupton, Lea V. Carty. 2001

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Forecasting bank loans loss-given-default (2010, background): “(Asarnow and Edwards, 1995; Carty and Lieberman, 1996; Carty et al., 1998; Carty and Hamilton, 1999; Gupton et al., 2000; O’Shea et al., 2001; Araten et al., 2004; Gupton and Stein, 2005; Acharya et al., 2007), Europe (Franks et al.”
Mitigating the pro-cyclicality of basel II (2010, unknown): “Araten et al. (2004) estimate LGDs in the interval between 39.8% and 50.5%, while Gupton (2000) estimates LGDs between 30.5% and 47.9%.”
A Survey of Cyclical Effects in Credit Risk Measurement Models (2002, unknown): “…in interest rates (usually consistent with economic downturns) generally depress asset prices, thereby reducing recovery rates and increasing LGD. Gupton, Gates, and Carty (2000) and Crouhy, Galai and Mark (2000) find LGD variability around a mean value that is consistent with cyclical effects.”
Revisiting Credit Scoring Models in a Basel 2 Environment (2002, background): “Frye [2000] specified a systematic macro-economic influence on recovery rates.”
Credit Contagion from Counterparty Risk (2009, background): “Gupton, Gates and Carey (2000) suggest a recovery rate between 50% and 65% for banks”