Economics, Econometrics and Finance
4 years ago

New methodology revolutionizes bank risk capital calculation for safer investments!

1 view
MPRA Paper
Loss Given Default Modelling under the Asymptotic Single Risk Factor Assumption
Joo-Cheol Kim, Kihyung Kim

Paper Summary

The article introduces a new method to calculate the loss-given-default parameter for banks' risk capital requirements. This method explicitly includes the LGD parameter in the Basel risk weight function. The researchers compared numerical examples using this new method to the current Basel committee proposals.

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