Working Paper Ircres-CNR 14/2017                             
                                          DOWNLOAD (pdf file)

 

La correlazione tra PD ed LGD nell’analisi del rischio di credito

The correlation between probability of default and loss given default in the credit risk analysis

 

Franco Varetto

CNR-IRCRES, National Research Council, Research Institute on Sustainable Economic Growth, via Real Collegio 30, Moncalieri (TO) – Italy

 

corresponding author: Questo indirizzo email è protetto dagli spambots. È necessario abilitare JavaScript per vederlo.

 

Abstract

The international regulation on banking developed by Basel Committee on Banking Supervision has set a simplified link between default probabilities and loss given default, avoiding to introduce the correlation. The scientific literature ha proposed many models that try to improve the Basel framework. This article examines the most important models proposed in the literature and apply two of them to aggregate data from the Bank of Italy.

 

Keywords:

Default probability, loss given default, correlation, credit risk, credit portfolio model, credit VaR

 

JEL Codes: G21, G28, G33, C18

 

DOI: 10.23760/2421-7158.2017.014

 

How to Cite this Article

Varetto F., 2017. “La correlazione tra PD ed LGD nell’analisi del rischio di credito”, Working Paper IRCrES, n. 14, pp. 1-47.

 

 

We use cookies to improve our website and your experience when using it. Cookies used for the essential operation of this site have already been set. To find out more about the cookies we use and how to delete them, see our privacy policy.

  I accept cookies from this site.
EU Cookie Directive plugin by www.channeldigital.co.uk