DefaultRisk.com the web's biggest credit risk modeling resource. |  |
|
|
| 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?)
Download paper (216K PDF) 9 pages  |
|
Please contact me with problems or suggestions. |
