I will be attending a LGD workshop organized by Marfintel in Belgium on 8 October to present practical work and methods for estimating LGD with macroeconomic conditions.
Building models of consumer LGD with macroeconomic data to improve estimation and enable stress testing: (1) How to include macroeconomic variables in models of LGD, (2)Evidence showing improved estimation of LGD at account and aggregate levels, (3) Using the models for stress testing and estimation of downturn LGD.
Other speakers are Prof Bart Baesens and Dr David Martens.
