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Showing 1 to 2 of 2 for “"economic and regulatory capital."”.
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Exposure modelling under change of measure
… such as potential future exposure (PFE) and expected exposure (EE), with these measures playing an important role in setting economic and regulatory capital levels. For the sake of risk measurement and risk management these exposure measures should be computed under the real-world …
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A Treatise of PD-LGD Correlation Modelling
… that parameters used in Pillar I of Basel II capital estimations must be reflective of economic downturn conditions so that relevant risks are accounted for. This provision is based on the fact that the probability of default (PD) and LGD correlations are not captured in the proposed formula …