blinkx

  • Expected loss (EL) on credit asset if PD, LGD are correlated

  • 00:07:58
  • Google Video
    • Browse

Expected loss (EL) on credit asset if PD, LGD are correlated

Expected loss (EL) calculations typically assume no correlation (i.e., they assume independence) between probability of default (PD) and loss given default (LGD). Basel II internal ratings-based (IRB) approach to a capital charge assumes independence between PD & LGD. How can we compute expected loss (EL) if there is correlation between EDF/PD and LGD/recovery?

Google Video | September 23, 2008Watch more videos from Google Video

Tags:. .between. .internal. .compute. .ii. .credit










Approach   Asset   Assumes   Basel   Between   Calculations   Capital   Charge   Compute   Correlated   Correlation   Credit   Default   Edf   Expected   Given   Ii   Independence   Internal   Irb   Lgd   Loss   Pd   Probability   Recovery   Typically