Working Paper Ircres-CNR 14/2017                             
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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.



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.



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.



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