Loss Given Default (LGD) is the second key parameter in the Basel formula discussed in Chapter 3. In fact, by looking at the formula, we can notice how the computed capital requirement is linear in the LGD estimate and less than linear (actually concave) in the PD estimate (which is embedded in the copula-like formula for the inverse normal distribution at 99.9% confi dence).
CITATION STYLE
Scandizzo, S. (2016). Loss Given Default Models. In The Validation of Risk Models (pp. 78–92). Palgrave Macmillan UK. https://doi.org/10.1057/9781137436962_6
Mendeley helps you to discover research relevant for your work.