Preprint
Discount Rate for Workout Recovery: An Empirical Study
Abstract
In order to comply with the Advanced Internal Rating-Based (IRB) approach of Basel II, financial institutions need to estimate the economic loss given default (LGD) of their instruments in order to compute the minimum regulatory capital requirement under Pillar I of the accord. One of the key parameters in the estimation of LGD is the appropriate discount rate (and thus risk premium) to be applied to the workout recovery values. By matching the …
Authors
Brady B; Chang P; Miu P; Ozdemir B; Schwartz DC
Publication date
January 1, 2007
DOI
10.2139/ssrn.907073
Preprint server
SSRN Electronic Journal