Loss Given Default is a financial risk metric that quantifies the expected loss rate on a credit exposure upon the occurrence of default, distinguished from other credit risk parameters by its focus on the proportion of unsecured exposure that cannot be recovered post-default.
105
Publications
4.9K
Citations
180
Authors
110
Institutions
Publications per year
2017–2026
21
Variants
Lgd
Parents
Publications
105
Macroeconomic Dynamics and Credit Risk: A Global Perspective
M. Hashem Pesaran, Til Schuermann, Björn-Jakob Treutler et al. · Journal of money credit and banking · 2006 · 339 citations · Full text
Social Sciences, Economics, Finance +17
What do We Know about Loss Given Default?
Til Schuermann · SSRN Electronic Journal · 2004 · 282 citations · Full text
Business, Finance, Risk Management +17
Loss given default of high loan-to-value residential mortgages
Min Qi, Xiaolong Yang · Journal of Banking & Finance · 2008 · 198 citations
Business, Finance, Real Estate +12
Benchmarking regression algorithms for loss given default modeling
Gert Loterman, Iain Brown, David Martens et al. · International Journal of Forecasting · 2011 · 188 citations
Forecasting bank loans loss-given-default
João A. Bastos · Journal of Banking & Finance · 2010 · 176 citations
Business, Finance, Risk Management +12
1–5 of 105
Authors
180
- CM
4
h-index
- SC
3
h-index
- RC
3
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- EI
3
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- ZY
3
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1–5 of 180
Institutions
110
University of Edinburgh
Edinburgh, United Kingdom
6 h-index
9 publications
771 citations
Office of the Comptroller of the Currency
Washington D.C., United States
4 h-index
8 publications
774 citations
University of Southampton
Southampton, United Kingdom
4 h-index
9 publications
913 citations
University of Michigan
Ann Arbor, United States
3 h-index
5 publications
97 citations
KU Leuven
Leuven, Belgium
3 h-index
3 publications
247 citations
Federal Deposit Insurance Corporation
Washington, United States
3 h-index
4 publications
66 citations
New York University
New York, United States
3 h-index
3 publications
218 citations
Pennsylvania State University
State College, United States
3 h-index
2 publications
50 citations
1–8 of 110
Venues
- SSRN Electronic Journal
Repository · 18 publications · 854 citations
13
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- The Journal of Credit Risk
8 publications · 253 citations
8
h-index
- Journal of Banking & Finance
7 publications · 717 citations
7
h-index
- RePEc: Research Papers in Economics
Repository · 6 publications · 150 citations
6
h-index
- European Journal of Operational Research
5 publications · 262 citations
5
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1–5