Browsing by Subject "Loss Given Default"
Now showing items 1-2 of 2
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The impact of PD-LGD correlation on expected loss and economic capital
(Klute Institute, 2017)The Basel regulatory credit risk rules for expected losses require banks use downturn loss given default (LGD) estimates because the correlation between the probability of default (PD) and LGD is not captured, even though ... -
An investigation into Loss Given Default modelling and Economic Capital for Recovery Risk
(North-West University (South Africa), 2023)Risk management in the credit risk environment has advanced considerably over the last few decades. During the same time, statistical models developed for this purpose have grown in variety and sophistication. Initially, ...