Basel bonds Canada

Most banks are scrambling to get the historical defaultdata they need to use Basel II’s advanced internal ratings-based (IRB) approach, which is expected to generate the lowest regulatory capital charge. But few banks on their own have enough historical default data to qualify for that approach.

The data in question – historical loss-given default (LGD) and usage given default (UGD) figures – is sensitive andbanks are generally unwilling to disclose it. The Canadian banks have worked around this

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