… with low recoveries if they default (ie with relatively high loss-given-default (LGD)). To …
paper proposes a credit risk approach by minimizing LGD for higher rated loans as a risk-rating …

… banking organizations to calculate their credit risk capital requirements using an internal …
is loss given default (LGD), the credit loss incurred if an obligor of the bank defaults. The …

… in addition to the probability of default, loss given default is also one of the important indicators
of evaluation credit risks. Proceeding from the perspective of loss given default (LGD), this …

… Main components of the credit risk are the Probability of Default (PD) and the Loss … of default
while the loss given default was often expected to be constant and exogenously given. This …

… In order to calculate the portfolio loss distribution, relevant input … are the exposure at default
(EAD), the loss given default (LGD) and the borrowers’ default indicator (D), where a default …

… type latent variable model for portfolio credit risk that accounts for stochastically dependent
probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the …

… estimating probability of default, loss given default and exposure at default within a horizon
… exact timing of default. In particular; while the literature on probability of default is extensive …

… models to calculate credit risk capital, subject to … credit risk of a financial asset: (i) the
probability of default over a 1-year horizon, (ii) the loss-given-default and (iii) the exposure at default…

… We discuss in Section 2 the main features of the AIRB approach and the regulatory capital
for credit risk portfolios. The discussion continues thereafter with a brief survey of LGD models …

… Modern credit risk measurement and management systems depend to a great extend on …
risk parameters: probability of default (PD), exposure at default (EAD), and loss given default (…