Modeling LGD with Monte Carlo

[brian.field]

Can anyone suggest a reference for modeling leveraged loan LGDs via Monte Carlo simulation? Particularly, I am looking for some information for determining the correlation matrix and for identifying which distribution to assume, but a more fundamental reference would be greatly appreciated.

@David Harper CFA FRM CIPM - obviously, if you have any suggestions, please let me know.

I haven't had a chance to get through the entire set of Credit Risk readings for part 2, and I suspect that there is some good information therein, however, I would still appreciate some additional references.

Many thanks!

Brian

 

[brian.field]

Can anyone help?

 

[ShaktiRathore]

Hey Brian,
You can model Lgd with binomial distribution with two estimates of alpha and beta given.you can do correlation studies with Mcs.frm covers basics about lgd ,u talking abt correlation of lgd and ead,or correlation b/w th does not te lgds. Frm as i studied does not go in depth,but u can refer ong for credit risk mgmt.
Thanks

 

[brian.field]

Thanks Shakti - I am really looking for a text reference on LGD modeling via monte carlo; i.e. something that can provide a step by step implementation plan and corresponding guidance. I will take a look at Ong again.

Brian

 

[hemmu23]

Hi just check if Beta Distribution fits in for LGD

 

[ShaktiRathore]

Hi just check if Beta Distribution fits in for LGD

Visit :

Thanks

 

[hemmu23]

ya.. am aware of the video and hence mentioned beta distribution.. hence values between 0-1