La correlazione tra PD ed LGD nell’analisi del rischio di credito/The correlation between probability of default and loss given default in the credit risk analysis

Franco Varetto ()
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Franco Varetto: CNR-IRCRES, National Research Council, Research Institute on Sustainable Economic Growth, via Real Collegio 30, Moncalieri (TO) – Italy and The Munk School of Global Affairs, University of Toronto, 315 Bloor Street West, Toronto, ON, M5S 0A7 Canada, http://www.ircres.cnr.it/index.php/en/

IRCrES Working Paper from CNR-IRCrES Research Institute on Sustainable Economic Growth - Moncalieri (TO) ITALY - former Institute for Economic Research on Firms and Growth - Torino (TO) ITALY

Abstract: The international regulation on banking developed by Basel Committee on Banking Supervision has set a simplified link between default probabilities and loss given default, avoiding to introduce the correlation. The scientific literature ha proposed many models that try to improve the Basel framework. This article examines the most important models proposed in the literature and apply two of them to aggregate data from the Bank of Italy.

Keywords: Default probability; loss given default; correlation; credit risk; credit portfolio model; credit VaR (search for similar items in EconPapers)
JEL-codes: C18 G21 G28 G33 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2017-12
New Economics Papers: this item is included in nep-ban and nep-rmg
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