Loss Given Default Modelling under the Asymptotic Single Risk Factor Assumption
The proposals of the Basel Committee on Banking Supervision for the revision of minimum requirements for bank's risk capital leave the quanti¯cation of loss-given-default (LGD) parameter used for capital calculation unspeci¯ed. This paper proposes a new methodology for incorporating LGD parameter explicitly into the Basel risk weight function. Numerical examples based on the new methodology are compared to the current proposals of the Basel committee on Banking Supervision.
|Date of creation:||17 Nov 2006|
|Date of revision:|
|Publication status:||Published in Asia-Pacific Journal of Financial Studies 2.36(2007): pp. 223-236|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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