Title: Calculation of probability of default(PD) and loss given default(LGD) of internal ratings-based(IRB) approach
Abstract: Internal Ratings-Based(IRB) Approach is a core content of New Basel Accord,and the calculation of Probability of Default(PD) and Loss Given Default(LGD) are the most important parts of IRB Approach.This paper explores the calculation methods of PD and LGD,then presents an econometric model of LGD,and finally proposes some suggestions for banks in China to implement the IRB Approach.
Publication Year: 2006
Publication Date: 2006-01-01
Language: en
Type: article
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Cited By Count: 1
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