LGD ESTIMATION SYSTEM AND LGD ESTIMATION METHOD

摘要

PROBLEM TO BE SOLVED: To solve a problem that is caused by analyzing LGD using a direct economic condition factor when the LGD in an economic recession period is estimated.;SOLUTION: On the basis of a recession period storage section, a long-term average GDP growth rate is identified, the recession period is identified, and the recession period GDP is determined. Furthermore, using a PD estimation model created using a track record PD and GDP growth rate, increase in risk/premium in the recession period is estimated on the basis of the PD corresponding to the long-term average GDP and the PD corresponding to the recession period GDP. Finally, the recession period LGD is estimated by considering the increase in risk/premium in calculating the LGD estimation value.;COPYRIGHT: (C)2014,JPO&INPIT