Recovery risk: the next challenge in credit risk management

Introduction / Edward I. Altman, Andrea Resti, Andrea Sironi

pt. I. Defining and measuring recovery risk

What do we know about loss given default? / Til Schuermann

Defining LGD: the Basel II perspective / Andrea Resti, Andrea Sironi

Loss given default: a review of the literature / Edward I. Altman, Andrea Resti, Andrea Sironi

Estimating recovery risk by means of a quantitative model: LossCalc / Greg M. Gupton

Recovery ratings: a fundamental approach to estimating recovery risk / Willam H. Chew, Steven S. Kerr

pt. II. Measuring LGD on specific portfolios

How to measure recoveries and provisions on bank lending: methodology and empirical evidence / Jean Dermine, Cristina Neto de Carvalho

Recovery rates in the banking industry: stylised facts emerging from the Italian experience / Pierpaolo Grippa, Simonetta Iannotti, Fabrizio Leandri

Estimating LGD in the leasing industry: empirical evidence from a multivariate model / Giacomo De Laurentis, Marco Riani

Recovery rates from distressed management buy-outs / David Citron, Mike Wright

pt. III. The PD/LGD correlation

The effects of systematic credit risk: a false sense of security / Jon Frye

LGD in a structural model of default / Samu Peura, Esa Jokinvuolle

The PD/LGD link: empirical evidence from the bond market / Edward I. Altman, Brooks Brady, Andrea Resti, Andrea Sironi

Systematic risk in recovery rates of US corporate credit exposures / Klaus Düllmann, Monika Trapp

The PD/LGD link: implications for credit risk modelling / Edward I. Altman, Andrea Resti, Andrea Sironi

Credit risk assessment and stochastic LGD: an investigation of correlation effects / Ali Chabaane, Jean-Paul Laurent, Julien Salomon

pt. IV. Advanced methodologies

Choosing the discount factor for estimating economic LGD / Iain Maclachlan

Estimating "distressed" LGD on defaulted exposures: a portfolio model applied to leasing contracts / Marie-Paule Laurent, Mathias Schmit

Estimation of recovery rate densities: non-parametric and semi-parametric approaches versus industry practice / Matthias Hagmann, Olivier Renault, Olivier Scaillet

Estimating conditional probability distributions of recovery rates: a utility-based approach / Craig Friedman, Sven Sandow.