Hello Amy,

You can look into the book: The Basel II Risk Parameters: Estimation,
Validation and Stress Testing by (Editors) Bernd Engelmann and Robert
Rauhmeier. Hope it helps.

Rgds, Atul

On Tue, Jan 4, 2011 at 4:30 PM, <r-sig-finance-request@r-project.org> wrote:

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>   1. Loss Given Default (LGD) using Beta estimation and        Kernel
>      Density (Amy Milano)
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> ----------------------------------------------------------------------
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> Message: 1
> Date: Tue, 4 Jan 2011 00:59:55 -0800 (PST)
> From: Amy Milano <milano_amy@yahoo.com>
> To: r-sig-finance@stat.math.ethz.ch
> Subject: [R-SIG-Finance] Loss Given Default (LGD) using Beta
>        estimation and  Kernel Density
> Message-ID: <105481.4077.qm@web114414.mail.gq1.yahoo.com>
> Content-Type: text/plain
>
> Hello!
>
> Is it possible for someone to suggest some literature (basic level) on LGD
> calculation (as per the BASEL - II accord)? If someone has an excel file,
> that will be  a graet help for me to understand the concept.
>
> Thanking you all in advance and best wishes for the new year 2011.
>
> Regards
>
> Amy
>
>
>
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