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| The Single Risk Factor Approach to Capital Charges in Case of Correlated Loss Given Default Rates by Dirk Tasche of Deutsche Bundesbank February 17, 2004 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 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. Books Referenced in this paper: (what is this?)
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