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    • 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 ...