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Showing 1 to 1 of 1 for “"systematic and idiosyncratic risk factors"”.

  1. A Treatise of PD-LGD Correlation Modelling

    Avusuglo, Wisdom SThe University of Western Ontario2020

    … 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 for estimating economic capital. To help quantify economic downturn LGD, the Basel …

    uwo Repository record