I am trying to compare LGD/PD for Banks and other financial institutions using different approach thank Merton. Are there any publicly available data on which I can build?
Thanks.
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Sign up to join this communityI am trying to compare LGD/PD for Banks and other financial institutions using different approach thank Merton. Are there any publicly available data on which I can build?
Thanks.
Re LGD: you can look at Mark-iT for ISDA Credit Event Auction settlements, here's a link actually http://www.creditfixings.com/CreditEventAuctions/fixings.jsp
Obviously these will give recoveries as determined by bond auctions, varying according to SUB and SENIOR in the type of names you are looking at. These outcomes are a bit pathological for banks as SUB credit events sometimes had no deliverables given bail-ins, prior to the 2014 update to ISDA definitions, therefore $LGD = 1-R$ settled at 100% for SUB in several cases eg BES.
That may all be derivatives mumble swerve, clearly LGD on actual claims may vary from counterparty to counterparty where bilateral commutations maye have been agreed on a case by case basis (eg AIG), but it is a good demonstrable public source.
Re PDs I guess, (sadly) you have to go to ratings agencies but I don't have a link to hand.