fryeJacobsLGD
Compute conditional loss given default (LGD) using Frye-Jacobs model
Since R2024b
Description
returns the conditional loss given default (LGD), where ConditionalLGD
= fryeJacobsLGD(ConditionalPD
,BaselinePD
,BaselineLGD
,Correlation
)ConditionalPD
is
the conditional probability of default (PD), BaselinePD
is the baseline
PD, BaselineLGD
is the baseline LGD, and Correlation
is a correlation parameter.
Examples
Input Arguments
Output Arguments
More About
References
[1] Frye, Jon, and Michael Jacobs. “Credit Loss and Systematic Loss given Default.” The Journal of Credit Risk 8, No. 1 (March 2012): 109–40.
[2] Frye, Jon. “The simple link from default to LGD.” Risk, London (March 2014): 60–65.
Version History
Introduced in R2024b