The Professional Risk Manager’s International Association (PRMIA) Presents:
Credit Risk: The Link Between Loss Given Default and Default
A portfolio's loss given default (LGD) rate tends to vary with its default rate, but lenders find it increasingly difficult to quantify the relationship. That has been unfortunate because systematic LGD affects risk, capital, pricing, and risk management.
A new LGD function aligns the two rates without adding new parameters to estimate. Federal Reserve Economist Jon Frye will discuss how the LGD function has performed and how this new research can be applied. A panel discussion and debate on the topic will follow.
Terry Benzschawel, Ph.D., Managing Director, Bond Portfolio Analysis Group, Citi - BIO
Til Schuermann, Ph.D., Partner, Finance & Risk, Oliver Wyman - BIO
Steve Bennett - Consultant, PECDC - BIO
Date: October 15, 2013
Time: 5:30 - 6:00 Registration; 6:00 - 6:15 Welcome and Introductions; 6:15 - 7:45; Program; 7:45 - 8:30 Networking Reception
Venue: Credit Suisse AG, 11 Madison Ave ,New York, NY 10010
About PRMIA: is a non-profit professional association, governed by a Board of Directors directly elected by its global membership, of nearly 90,000 members worldwide. PRMIA is represented globally by over 65 chapters in major cities around the world, led by Regional Directors appointed by PRMIA's Board.
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