Understanding and Predicting LGD on Bonds & Loans

1 year. 2 year. 3 year. Length of rolling window of correlation. Correlation. Correlation. Average of daily correlations based on different rolling windows for. 1yr T-bill yield vs. 30yr T-bond yield. 0.63 0.61 0.60 0.58 0.55 0.54 0.52 0.54 0.56 0.58 0.6 0.62 1 month. 3 month. 6 month. 1 year. 2 year. 3 year. Length of rolling window of correlation ................
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