February 2007
Intermediate to advanced
280 pages
15h 37m
English
Content preview from Value at Risk and Bank Capital Management
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92 CHAPTER
♦
4 Credit Risk
recovery rates for utilities are substantially higher than those for real estate/construction
fi rms. In any case, industries show signifi cant differences in LGD through time, since
recoveries are much lower in years in which an industry is in distress (Acharya, Bharath,
and Srinivasan 2003; Gupton 2005).
This introduces the crucial issue of whether PD and LGD are linked. In recent years,
empirical evidence has shown that PD and LGD are positively correlated, since they both
tend to grow in recession years; see Hu and Perraudin (2002), Acharya, Bharath, and
Srinivasan (2003), Altman et al. (2005), and the survey by Alt ...
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