The single risk factor approach to capital charges in case of correlated loss given default rates
| dc.creator | Tasche, Dirk | |
| dc.date | 2004-02-14 | |
| dc.date | 2004-02-18 | |
| dc.date.accessioned | 2026-07-07T12:06:53Z | |
| dc.date.available | 2026-07-07T12:06:53Z | |
| dc.description | 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). | |
| dc.description | 9 pages, LaTeX | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0402390 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0402390 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208787 | |
| dc.subject | Other Condensed Matter | |
| dc.subject | Risk Management | |
| dc.title | The single risk factor approach to capital charges in case of correlated loss given default rates | |
| dc.type | text |