Uncovering PD/LGD liaisons

Understanding dependencies between the probability of default (PD) and loss given default (LGD) through their variation over time, based on the different phases of the economic cycle, is crucial to quantifying their impact on the calculation of credit risk capital. From a technical point of view, the assumption of two different models for PDs and LGDs, when there is a non-trivial correlation between the two, leads to biased estimates for the PD and LGD parameters, which if not considered could

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: