LGD estimation system and LGD estimation manner

摘要

Topic The occasion where LGD of recession period is estimated, the controversial issue which it has occurred by analyzing LGD directly with the business primary factor is overcome. SolutionsOn the basis of the recession period storage section, specification, and recession period of long-term average GDP growth rate it specifies, calculates recession period GDP. Furthermore, risk premium rise of recession period is estimated on the basis of PD which corresponds to long-term average GDP making use of the PD estimation model which was constructed making use of the result PD and GDP growth rate, and PD which corresponds to recession period GDP. LGD of recession period is estimated by considering risk premium rise lastly in LGD estimated value. Choice figure Drawing 10