The Single Risk Factor Approach to Capital Charges in Case of Correlated Loss Given Default Rates
Preprint
- 1 January 2004
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
A new methodology for incorporating LGD correlation effects into the Basel II risk weight functions is introduced. This methodology is based on modelling of LGDKeywords
All Related Versions
This publication has 3 references indexed in Scilit:
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