Loss Given Default Modelling under the Asymptotic Single Risk Factor Assumption

Joocheol Kim and Kihyung Kim

MPRA Paper from University Library of Munich, Germany

Abstract: The proposals of the Basel Committee on Banking Supervision for the revision of minimum requirements for bank's risk capital leave the quanti¯cation of loss-given-default (LGD) parameter used for capital calculation unspeci¯ed. This paper proposes a new methodology for incorporating LGD parameter explicitly into the Basel risk weight function. Numerical examples based on the new methodology are compared to the current proposals of the Basel committee on Banking Supervision.

Keywords: LGD; Single Risk Factor; Basel (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2006-11-17
New Economics Papers: this item is included in nep-ban and nep-rmg
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Citations: View citations in EconPapers (1)

Published in Asia-Pacific Journal of Financial Studies 2.36(2007): pp. 223-236

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:860

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