Fe b 20 04 The single risk factor approach to capital charges in case of correlated loss given default rates
نویسنده
چکیده
A new methodology for incorporating LGD correlation effects into the Basel II risk weight functions is introduced. This methodology is based on modelling of LGD and default event with a single loss variable. The resulting formulas for capital charges are numerically compared to the current proposals by the Basel Committee on Banking Supervision.
منابع مشابه
1 4 Fe b 20 04 The single risk factor approach to capital charges in case of correlated loss given default rates
A new methodology for incorporating LGD correlation effects into the Basel II risk weight functions is introduced. This methodology is based on modelling of LGD and default event with a single loss variable. The resulting formulas for capital charges are numerically compared to the current proposals by the Basel Committee on Banking Supervision.
متن کاملThe single risk factor approach to capital charges in case of correlated loss given default rates
A new methodology for incorporating LGD correlation effects into the Basel II risk weight functions is introduced. This methodology is based on modelling of LGD and default event with a single loss variable. The resulting formulas for capital charges are numerically compared to the current proposals by the Basel Committee on Banking Supervision.
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