Margin of Conservatism Framework for IRB PD, LGD and CCF: Extended Version with Numerical Example by Yang Liu

Margin of Conservatism Framework for IRB PD, LGD and CCF: Extended Version with Numerical Example

Yang Liu

46 pages • missing pub info (editions)

nonfiction business economics
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Technical Report from the year 2019 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: A, language: English, abstract: The EBA Guidelines on PD and LGD estimation is due to apply from 1 January 2021, in whi...

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