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| LGD-rating for a Portfolio of Retail Loans by d-fine May 31, 2004 Abstract: The thesis describes a method to develop a rating system for LGD in the case of portfolio of retail loans. The method is based on a LGD-score and uses a calibration technique – the power curve calibration technique – well known from the calculation of probability of default. We show that the method developed is powerful enough to calculate statistically significant values for LGD in a general case without making assumptions about the functional form of the loss given default rate the last chapter of the thesis presents a kind of excurse and deals with the important problem of the plausiblisation [SP?] of the loss given default rates calculated using statistical models. |   
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