The single risk factor approach to capital charges in case of correlated loss given default rates

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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. Keywords: Regulatory capital charge, loss given default (LGD).
9 pages, LaTeX

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Other Condensed Matter, Risk Management

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http://salesiana.dossiersoluciones.com/handle/123456789/208787

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/0402390
 http://arxiv.org/abs/cond-mat/0402390

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arXiv