Konstantin Belyaev
- 15 March 2017
- WORKING PAPER SERIES - No. 2037Details
- Abstract
- Most studies focusing on the determinants of loss given default (LGD) have largely ignored possible lagged effects of the macroeconomy on LGD. We fill this gap by employing a wide set of macroeconomic covariates on a retail portfolio that represents 15% of the Czech consumer credit market over the period 2002
- JEL Code
- C02 : Mathematical and Quantitative Methods→General→Mathematical Methods
G13 : Financial Economics→General Financial Markets→Contingent Pricing, Futures Pricing
G33 : Financial Economics→Corporate Finance and Governance→Bankruptcy, Liquidation