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Model A: Model A: Constant LGD_A TAN I DEF Coefficient 2.05 1.26 9.46 Standard error of the coefficient 0.32 1.42 0.38 3.68 p-value 0.00 0.32 0.00 0.01 Where: LGD_A is Average LGD of the industry TAN is Tangibility of the firm i _DEF is the industry default rate The R2 for this model is 57%. Explain the overall fit of the model and how well it predicts loss given default. (10% question weight) Describe the impact of each factor of loss given default. (20% question weight) Calculate the t-ratio for each factor in the model. (20% question weight) Discuss the different factors you would consider for inclusion in an LGD model, along with their benefit, challenges, and expected relationship with LGD. (50% question weight) a. b. C. d.

Do question C and D, and write in word or paper (not in excel), please.

math   Statistics-And-Probability   
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