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Showing 1 to 1 of 1 for “"realized loss"”.

  1. A Treatise of PD-LGD Correlation Modelling

    Avusuglo, Wisdom SThe University of Western Ontario2020

    … of Basel II Framework Document for calculating loss given default (LGD) requires 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 …

    uwo Repository record