{"id":"https://openalex.org/W23909131","doi":null,"title":"Estimating Expected Loss Given Default","display_name":"Estimating Expected Loss Given Default","publication_year":2009,"publication_date":"2009-01-01","ids":{"openalex":"https://openalex.org/W23909131","mag":"23909131"},"language":"en","primary_location":{"id":"mag:23909131","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/bookchap/cnbocpubc/fsr0809_2f4.htm","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5045147503","display_name":"Petr Jakub\u00edk","orcid":"https://orcid.org/0000-0001-5143-2610","observed_orcids":["https://orcid.org/0000-0001-5143-2610"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Petr Jakub\u00edk","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0001-5143-2610","affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5016074225","display_name":"Jakub Seidler","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Jakub Seidler","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"102","last_page":"109"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.95169997215271,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.95169997215271,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11653","display_name":"Financial Distress and Bankruptcy Prediction","score":0.023399999365210533,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0044999998062849045,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/loss-given-default","display_name":"loss given default","score":0.9990000128746033},{"id":"https://openalex.org/keywords/credit-risk","display_name":"credit risk","score":0.9789999723434448},{"id":"https://openalex.org/keywords/expected-loss","display_name":"expected loss","score":0.765999972820282},{"id":"https://openalex.org/keywords/merton-model","display_name":"Merton model","score":0.8500000238418579},{"id":"https://openalex.org/keywords/probability-of-default","display_name":"probability of default","score":0.8190000057220459},{"id":"https://openalex.org/keywords/credit-exposure","display_name":"credit exposure","score":0.9559999704360962},{"id":"https://openalex.org/keywords/corporate-debt","display_name":"corporate debt","score":0.5920000076293945},{"id":"https://openalex.org/keywords/stock-prices","display_name":"stock prices","score":0.5609999895095825},{"id":"https://openalex.org/keywords/prague-stock-exchange","display_name":"Prague Stock Exchange","score":0.718999981880188}],"concepts":[{"id":"https://openalex.org/C133930124","wikidata":"https://www.wikidata.org/wiki/Q1460730","display_name":"Loss given default","level":4,"score":0.9277105331420898},{"id":"https://openalex.org/C2779806880","wikidata":"https://www.wikidata.org/wiki/Q778470","display_name":"Probability of default","level":3,"score":0.6818815469741821},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.5955828428268433},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.5886210203170776},{"id":"https://openalex.org/C120527767","wikidata":"https://www.wikidata.org/wiki/Q3196867","display_name":"Debt","level":2,"score":0.5353458523750305},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.5267871022224426},{"id":"https://openalex.org/C200870193","wikidata":"https://www.wikidata.org/wiki/Q11691","display_name":"Stock exchange","level":2,"score":0.5175070762634277},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.5064376592636108},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4845096468925476},{"id":"https://openalex.org/C2984055962","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Default risk","level":3,"score":0.45430052280426025},{"id":"https://openalex.org/C26457952","wikidata":"https://www.wikidata.org/wiki/Q1655033","display_name":"iTraxx","level":5,"score":0.411064475774765},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3757505416870117},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.35892099142074585},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.27189844846725464},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.2362499237060547},{"id":"https://openalex.org/C2864544","wikidata":"https://www.wikidata.org/wiki/Q2914988","display_name":"Capital requirement","level":3,"score":0.12353342771530151},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.10041126608848572},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.07965123653411865},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.06896337866783142},{"id":"https://openalex.org/C78519656","wikidata":"https://www.wikidata.org/wiki/Q101333","display_name":"Mechanical engineering","level":1,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"mag:23909131","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/bookchap/cnbocpubc/fsr0809_2f4.htm","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"mag:3124309071","doi":null,"is_oa":false,"landing_page_url":"https://ideas.repec.org/h/cnb/ocpubc/fsr0809-4.html","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null},{"id":"pmh:oai:RePEc:cnb:ocpubc:fsr0809/4","doi":null,"is_oa":false,"landing_page_url":"https://www.cnb.cz/en/financial-stability/thematic-articles-on-financial-stability/","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":8,"referenced_works":["https://openalex.org/W2077791698","https://openalex.org/W2098223131","https://openalex.org/W2105973145","https://openalex.org/W2160797051","https://openalex.org/W2167429103","https://openalex.org/W3005014522","https://openalex.org/W3122632517","https://openalex.org/W3123223673"],"related_works":["https://openalex.org/W7096988336","https://openalex.org/W1562262716","https://openalex.org/W1543970322","https://openalex.org/W2156726854","https://openalex.org/W7096291790","https://openalex.org/W2098223131","https://openalex.org/W3005014522","https://openalex.org/W2202363053","https://openalex.org/W7135759045","https://openalex.org/W3005590618"],"abstract_inverted_index":{"This":[0,71],"article":[1],"discusses":[2],"the":[3,25,36,44,47,51,55,60,97,106,118],"estimation":[4],"of":[5,31,46,49,57,85,114],"a":[6,39,83,111],"key":[7],"credit":[8,52],"risk":[9],"parameter":[10,116],"\u2013":[11,16],"loss":[12,42],"given":[13],"default":[14,58],"(LGD)":[15],"and":[17,59,88],"calculates":[18],"it":[19],"for":[20,68,78,101,117],"selected":[21,102],"companies":[22,81,103],"traded":[23,80,104],"on":[24,105],"Prague":[26,107],"Stock":[27,108],"Exchange.":[28],"The":[29,62],"importance":[30],"estimating":[32],"LGD":[33,69,77,99],"stems":[34],"from":[35,82],"fact":[37],"that":[38,96],"lender\u2019s":[40],"expected":[41],"is":[43,66,92],"product":[45],"probability":[48],"default,":[50],"exposure":[53],"at":[54],"time":[56],"LGD.":[61],"Mertonian":[63],"structural":[64],"approach":[65],"used":[67],"estimation.":[70],"technique":[72],"enables":[73],"us":[74],"to":[75,94],"derive":[76],"publicly":[79],"knowledge":[84],"their":[86],"debt":[87],"share":[89],"prices.":[90],"It":[91],"reasonable":[93],"assume":[95],"resulting":[98],"calculated":[100],"Exchange":[109],"represents":[110],"lower":[112],"estimate":[113],"this":[115],"entire":[119],"corporate":[120],"sector.":[121]},"counts_by_year":[{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-01T08:54:57.152042","created_date":"2016-06-24T00:00:00"}