Jamil J. Jaber1,2, Noriszura Ismail2, Siti Norafidah Mohd Ramli2, Baker Albadareen2, Nawaf N. Hamadneh3,*
CMC-Computers, Materials & Continua, Vol.66, No.3, pp. 3329-3344, 2021, DOI:10.32604/cmc.2021.014509
Abstract Loss given default (LGD) is a key parameter in credit risk management to calculate the required regulatory minimum capital. The internal ratings-based (IRB) approach under the Basel II allows institutions to determine the loss given default (LGD) on their own. In this study, we have estimated LGD for a credit portfolio data by using beta regression with precision parameter (∅) and mean parameter (μ). The credit portfolio data was obtained from a banking institution in Jordan; for the period of January 2010 until December 2014. In the first stage, we have used the “outstanding amount” and “amount of borrowing” to… More >
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