Now showing items 1-2 of 2

    • The impact of PD-LGD correlation on expected loss and economic capital 

      Van Vuuren, Gary; De Jongh, Riaan; Verster, Tanja (Klute Institute, 2017)
      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 ...
    • The impact of systemic loss given default on economic capital 

      Van Dyk, Jenni; Lange, Jaun; Van Vuuren, Gary (Klute Institute, 2017)
      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 ...