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Paris-Princeton Lectures on Mathematical Finance 2004
Paris-Princeton Lectures on Mathematical Finance 2004 Finance 2004

by Rene A. Carmona, Ivar Ekeland, Arturo Kohatsu-Higa, Jean-Michel Lasry, Pierre-Louis Lions, Huyen Pham, Erik Taflin, Springer, (
October 1, 2007), Paperback, 248 pages

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The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
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In Rememberance: World Trade Center (WTC)

Measuring LGD on Commercial Loans: An 18-Year Internal Study

by Michel Araten of JP Morgan Chase,
Michael Jacobs Jr. of JP Morgan Chase, and
Peeyush Varshney of JP Morgan Chase

May 2004

Abstract: This article presents findings of and highlights issues associated with an extensive internal loss severity study for the JPMorgan Chase (JPMC) wholesale bank. The recently completed loss given default (LGD) study draws upon 18 years of loan loss history at JPMC for 3,761 defaulted borrowers at its several heritage organizations.

Published in: RMA Journal, Vol. 86, No. 8, (May 2004), pp. 28-35.

Download paper (61K PDF) 8 pages

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