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: This email address is being protected from spambots. You need JavaScript enabled to view it.

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.