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Giuseppe Orlando and Roberta Pelosi
Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance....
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Mustapha Ammari,Ghizlane Lakhnati
Pág. 779 - 785
The Basel Committee offers banks the opportunity to estimate Loss Given Default (LGD) if they wish to calculate their own value for the capital required to cover credit losses. The flexibility to determine LGD values tailored to a bank?s portfolio will l...
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Jenni van Dyk, Jaun Lange, Gary van Vuuren
Empirical studies have demonstrated that loan default probabilities (PD) and loss given defaults (LGD) are positively correlated because of a common, business cycle, dependency. Regulatory capital requirements demand that banks use downturn LGD estimates...
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Gary van Vuuren, Riaan de Jongh, Tanja Verster
The Basel regulatory credit risk rules for expected losses require banks use downturn loss given default (LGD) estimates because the correlation between the probability of default (PD) and LGD is not captured, even though this has been repeatedly demonst...
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Riaan de Jongh, Tanja Verster, Elzabe Reynolds, Morne Joubert, Helgard Raubenheimer
The Basel II accord (2006) includes guidelines to financial institutions for the estimation of regulatory capital (RC) for retail credit risk. Under the advanced Internal Ratings Based (IRB) approach, the formula suggested for calculating RC is based on ...
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Guilherme Fernandes Sanches,André Alves Portela Santos
Pág. 299 - 321
The goal of our paper is to contribute to the discussion about the most important aspects of the loss given default validation process, with special attention to the brazilian case, as the Central Bank of Brazil determines in Circular no 3.648/2013. The ...
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Herbert Kimura,Gustavo de Magalhães Rezende
Pág. 07 - 24
O acordo de Basileia II permite que os bancos utilizem modelos internos que sirvam de base para o cálculo dos requisitos mínimos de capital em virtude do nível de exposição ao risco de crédito. Dentre os principais componentes estimados, estão a probabil...
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