Sep 19

What determines loss given default (LGD)? – 2 min screencast

by David Harper, CFA, FRM, CIPM

FRM |

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Yesterday I reviewed the beta distribution used to characterize the LGD random variable (recovery/loss conditional on default). According to de Servigny (Chapter 4), the key determinants of recovery are:

  • Seniority
  • Industry
  • Business cycle
  • Collateral
  • Jurisdiction
  • Bargaining power

Screencast:

Comments

  1. sridhar 22 Sep 2008

    Audio on this off key-- lots of lisping...something wrong with the recording?

  2. David Harper, CFA, FRM, CIPM 22 Sep 2008

    Hi sridhar,

    Yes, agreed, I tried doing audio after, instead of simultaneous and camtasia mucked up the audio. Since it’s just a “daily” i didn’t spend time to rerecord (uggh, so many little variables that can go wrong). thanks for noticing!

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