Loss given default (LGD)
Loss given default modeling: an application to data from a Polish bank
This paper compares two methods of estimating LGD: a beta regression model and a multinomial logit (MNL) model.
Hit the floor: banks fear Basel curbs for capital models
Regulators argue a backstop is needed to avoid too-low modelled numbers
The simple link from default to LGD
The simple link from default to LGD
Systematic risk factors redefined
Systematic risk factors redefined
Breaking break clauses
Breaking break clauses
Risk USA: Regulators called on to restrict loan modelling choices
Less modelling freedom makes sense, says loan data expert – and the alternatives would be far worse
FSA forces UK banks to assume higher sovereign losses
Behind-the-scenes clampdown sets loss-given-default floor at 45% – and could make UK bonds less attractive
Credible capital: regulators prepare to tackle RWA divergence
Credible capital
Counterparty risk capital and CVA
Counterparty risk capital and CVA
Concern over accuracy of RWAs grows
A weight on their minds