A proposed framework for backtesting loss given default models
The Basel Accords require financial institutions to regularly validate their loss given default (LGD) models. This is crucial so banks are not misestimating the minimum required capital to protect them against the risks they are facing through their lending activities. The validation of an LGD model...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
2014-03.
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| Subjects: | |
| Online Access: | Get fulltext |