Concepedia

Default Loss Severity

Default Loss Severity is a quantitative risk metric that measures the expected financial loss per unit of exposure given a tenant default, distinguished from other risk metrics by its focus on the magnitude of loss after default occurs rather than the likelihood of default itself.

15

Publications

1K

Citations

25

Authors

15

Institutions

Publications per year

2017–2026

1

Variants

Lgd

Parents

Publications

15

What do We Know about Loss Given Default?

Til Schuermann · SSRN Electronic Journal · 2004 · 282 citations · Full text

, , +17

Credit Risk in Private Debt Portfolios

Mark Carey · The Journal of Finance · 1998 · 253 citations

, , +17

Measuring LGD on Commercial Loans: An 18-Year Internal Study

Michel Araten, Michael R. Jacobs, Peeyush Varshney · 2004 · 117 citations

, , +13

Efficient Mortgage Default Option Exercise: Evidence from Loss Severity

Gordon Crawford, Eric Rosenblatt · Journal of Real Estate Research · 1995 · 71 citations

, , +16

The impact of the financial crisis on operational risk in the financial services industry: empirical evidence

The Journal of Operational Risk · 2011 · 54 citations

, , +17

1–5 of 15

Authors

25

  1. PZ
    Peter Zorn

    Freddie Mac (United States), United States

    2 publications · 58 citations

    2

    h-index

  2. ER
    Eric Rosenblatt

    Georgia State University, United States

    2 publications · 84 citations

    2

    h-index

  3. SM
    Simon M. Firestone

    The University of Melbourne, Australia

    2 publications · 58 citations

    2

    h-index

  4. GC
    Gordon Crawford

    Feminist Archive North, United Kingdom

    2 publications · 84 citations

    2

    h-index

  5. RV
    Robert Van Order

    Freddie Mac (United States), United States

    2 publications · 58 citations

    2

    h-index

1–5 of 25

Institutions

15

  1. Federal Reserve Board of Governors

    Washington D.C., United States

    3 h-index

    5 publications

    375 citations

  2. Federal Reserve

    Washington D.C., United States

    2 h-index

    4 publications

    122 citations

  3. University of Michigan

    Ann Arbor, United States

    2 h-index

    2 publications

    58 citations

  4. Freddie Mac (United States)

    Tysons Corner, United States

    2 h-index

    3 publications

    96 citations

  5. University of Aberdeen

    Aberdeen, United Kingdom

    1 h-index

    1 publications

    20 citations

  6. Federal Deposit Insurance Corporation

    Washington, United States

    1 h-index

    1 publications

    15 citations

  7. Ross School

    East Hampton, United States

    1 h-index

    1 publications

    20 citations

  8. Citigroup

    New York, United States

    1 h-index

    2 publications

    48 citations

1–8 of 15

Venues

  1. SSRN Electronic Journal

    Repository · 4 publications · 330 citations

    4

    h-index

  2. The Journal of Fixed Income

    2 publications · 34 citations

    2

    h-index

  3. Journal of Real Estate Research

    JRER · 1 publications · 71 citations

    1

    h-index

  4. North American Actuarial Journal

    NAAJ · 1 publications · 34 citations

    1

    h-index

  5. Federal Reserve Bulletin

    1 publications · 34 citations

    1

    h-index

1–5